Chapt

er1:
Prel
i
minar
ies
Opti
mi zati
onisallaboutmakingthingsbett
er;thi
scouldmeanhel pi
ngacompanymakebet t
er
deci
sionst omaximizeprofi
t;hel
pingafactorymakepr oduct
swi t
hlessenvir
onmentali
mpact;or
hel
pingazool ogi
stimprovethedietofanani mal.Whenwet al
kaboutoptimizat
ion,
weof t
enuse
ter
msl ikebet
terorimprovement.It'
simportanttorememberthatwor dsl
ikebet
tercanmean
moreofsomet hi
ng( asi
nthecaseofpr ofi
t)orlessofsomethingasinthecaseofwaste.

Inopti
mizationtheory,thefunct
ionwear et ryi
ngtomaxi mize(orminimize)i
scal ledt he
n
objecti
vefuncti
on.Ingener al
,anobject
ivefuncti
onisamappi ngz:D( ⊂R)→ R.Her eDi st he
domai nofthefuncti
onz.
Defi
nit
ion1.2.Letz:D( ⊂Rn)→ R.Thepointx*i
saglobalmaximum forzifforal
lx∈D, z(x*)≥
z(x).Apointx*∈Di sal ocalmaximum forzifthereisanei
ghborhoodS⊂Dofx*( i
. ,x*∈S)so
e.
* *
thatforal
lx∈ S, z(
x)≥z( x).
Thevari
abl
esgivenbyxar ecal
leddecisi
onvar
iabl
es.
Letz:D(⊂Rn)→ R,gi:
D(⊂Rn)→ R( i=1,.
..,
m),hj:
D(⊂Rn)→ R(
j=1,
…,l
).Thenthegeneralmaximi
zat
ion
probl
em withobj
ectivefunctionz(x1,…,xn)andinequal
it
yconst
rai
ntsgi(
x1,…,
xn)
≤bi(i
=1,
…,m)and
equal
ityconst
rai
ntshj(x1,
…,xn)=r
(
jj=1,…,
l)iswr it
tenas:
Maxz(
x1,
x2,
…,xn)
subj
ectt
o
g1(
x1,
…,xn)
≤b1
g2(
x1,
…,xn)
≤b2
.
.
.
gm(
x1,
…,xn)
≤bm
h1(
x1,
…,xn)
=r1

.
.
hl(
x1,
…,xn)
=rl

Abov
eiscal
l
edamat
hemat
ical
progr
ammi
ngpr
obl
em.
Not
e:Mi
nimi
zi
ngz(
x1,
...,
xn)i
sequi
val
entt
omaxi
mizi
ng–z(
x1,
…,xn)
.

Gr
adi
ent
:Di
rect
ionoff
ast
esti
ncr
ement

Acr
it
ical
partofopt
imizat
iontheor
yisunderst
andingt
hegeometryofEucl
i
deanspace.
Tot
hatend,
we'regoingtostat
esomecr i
ti
calconcept
sandresul
tsfr
om Vect
orCal
culus.

Not
ationEv
eryelementoft Rn i
stobet t
houghtofasacol umnv ect
ororasannx1
mat
rix.Wewri
tea=(a1,
…,an)≤b=(b1,
…,bn)iffai≤bi,
foral
li
=1,
…,n.
Def
ini
ti
on1.
1(Eucl
i
deanSpace)Ann-
dimensi
onalEucl
i
deanspace, edbyEn,
denot ist
hecol
l
ect
ionofal
ln
-componentr ealv
ect
orst
oget
herwi
thcomponent
-wi
seaddi
ti
on,scal
armul
ti
pli
cat
ionandscal
ar(
dot
)
productdef
ined.

1|
Page
 Def
ini
tion1.
2Ifx,
y ∈Rn,
thendotproductorscal arproductofxandyisdef
inedbyx.
y=xty(
rul
eof
matri
xmulti
pli
cat
ion)=∑n
i xy,
=1 iiwher
e xi
i stheicomp onentoft
hevect
orx.

Usi
ngcosinerul
eofTr i
gonometry
,itcanbepr ovedt hatx.y=‖x‖‖y‖cosθ,whereθi stheangl
e
bet
weenvector
sxandyand‖ x‖2=x.x
Lemma1.1Letx,y∈Rnwithx,
y≠0(0standingfornullvector).
Thent hef ol
lowi
nghold:
(
1)Theanglebetweenxandyislesst hanπ/2(i
.e.,acute)iffx·y>0.
(
2)Theanglebetweenxandyisex actl
yπ/2(i.
e.,thevectorsar eor t
hogonal
)if
fx·y=0.
(
3)Theanglebetweenxandyisgreaterthanπ/2( i.
e.,obtuse)iffx·y<0.

Def
init
ion1.
3Letf:R2→R,u= ,
a
b
x0
()
y0
()
x0= ∈R2.Thedi r
ectionalderivati
veoffatx0int
hedi r
ect i
onu

f(
x0+ah,+
y0
bh)-
f(x0,)
y0
i
sgivenbyDuf(
x0)
=l i
m ,
ifi
texi
sts.Directi
onalderi
vati
vesoffi
nt hedi recti
on
h→0 h
a
0() ()
of and ar
0
b
ecall
edparti
alderivati
v esoffw.r
.t
.xandyr espect
ivel
yanddenot
edbyfx(x0)
,f
y(x0)
.

dg ∂fdx ∂fdy
Letg(h)=f
(x+ah,y+bh)f
orar
bitr
ari
l
yf i
xedx,y.Theng/(
h)= = . + . =f (
x x,
y)a+f
y(
x,y
)b.Thusg/(
0)=
dh ∂xdh ∂ydh
f(
x x,
y)a+f
y(x,
y)b.HenceDuf
(x0)=fx(
x,y
)a+f
y(
x,y)b(*
)

2π
Example1.1Calcul
ateDuf
(2,
0)wher
ef(
x,y
)=xexy+yanduist
heuni
tvect
ori
nthedi
rect
ionofθ= .
3
u=(
2π
cos ,
3
si
2π
3 ( )
13
n )= -, .HenceDuf
22
(2,0)
=(
1
1+0)(- )
2
3
+5. .
2

()
x0

A Def i
nit
ion 1. 4 Letf :R3→R,x0= y 0
∈ R3 .Gr adientoffatx0 i sav ectori n R3 gi ven by
n z0
a (
∂f ∂f ∂f ∂f ∂f ∂f
l ∇f(x0)=( (
∂A
x0) ,(
x ∂y ∂z
x0), ( x0))≡ (
∂x
x0)i+ (
∂y
x0)+ (
j x)
∂z 0
k.From (*)abov e,Duf
(x0)=∇f(x0).
u.
t ·
Theor e
nm 1. 1Themaxi mum v ueofDuf
al (x)( thati s,maxi mum r ateofchangeoff (x))isgiv enby
e
(
1.
r 6) ‖∇f(x)‖
aa ndw illoc cur i
n t
h e direc ti
on o f∇ f(x). y
ProoflDuf (
x)=∇f (x).u=‖∇f(x)‖‖u‖cosθ,whereθi st heangl ebet weent hedirecti
onsoft hegr adient =
n
andt t
heuni tv ectoru.Lar gestv alueofcosθ=1whi choccur satθ=0.Thusmaxi mum v alueofDuf (
x) |
a
t i
s ‖∇ f
(e
x)‖.A l
soma ximum v al
u eo ccursw hent hea ngleb etw eent heg radientandui sz ero,th atis, |
r
whenupoi ntsi nt hesamedi rect i
onast hegr adient∇f (x). x
i |
n π
v Not e:a-
∇f(x0)poi ntsi nthedi rect ioninwhi chfi sdecr easingf astest.For0<θ< , zisincreasingand |
e 2
|
a πt
for < θ<π, zi sdecr easing. |
n 2i y
Examp v
le1.2Lett hehei ghtofahi llabov eseal evelbegi venbyz=1000- 01x2-
0. 0.
02y2
.Inwhatdirect i
onis
d |
thee le
evati
onc han gi
n gfas testa t( 60,100 )?Wh atist hema ximum rateo fc hangeo fthee levati
o na t
u |
(60,10a
0)?
s c
e ∇f(x)=n
(-
0.02x, -
0.04y ).Thusmaxi mum r at eofchangei si nthedi rect i
on∇f (60,100)=(-
1.2,-
4)and o
d s‖
f maxi mum r
u
ate of change of el ev ation i ∇f(60,100)‖= (- 1. 2
2)+( 2
4)=4.
- 176. Since bot h s
u component sof∇f (
60,100)ar enegat ive,t hedi rectionofmaxi mum r ateofchangei stowar dst he θ
s
l cent r
e rathert hanawayf rom t hehi ll
.
e T
d Theor em 1 .
2 Theg radientv ecto r ∇f(x0,y0,
z0)i sor thogonalt ot hel evelcur vef (
x,y,
z)=kpassi ng
f h
e
2|Pageu i
f
l s
i
d f
n
e a
i
c
through( x0,y0,z0)at( x0,
y0,
z0)
.
ProofLetP: (x0,y0,
z0)beapoi ntont helev elsurf
aceS: f(x,
y,
z)=k.LetC: r(
t)=(x(t
),
y(t)
,z(
t))beacurve
onSpassi ngt hroughP.Lett 0b et hev alueoftt hatgivesP.Si nceCl i
esonS, anypointonCmust
∂fdx ∂fdy ∂fdz
satisfyequat i
onf orS.Thusf (x(t),y(
t),
z(t))=k.Usingchainr ul
e, . + . + . =0( **)
.Si
nce
∂xdt ∂ydt ∂zdt
/
x/( /
z/( / /
∇f=(f,
xf,
yfz)andr (t
)=( t
),y(t), t)
),(**)becomes∇f .r (
t)=0.Att =t0,∇f(x0,
y0,
z0)
.r (t0)
=0.Thus
/
gradientv ectoratP,∇f (
x0,
y0,z0),isor t
hogonalt othet angentv ectorr (t
0)toanycur veC t
hat
passest hroughPandont hesur faceSandsomustal sobeor thogonal t
oS.

TheLi
nearPr
ogr
ammi
ngPr
obl
em (
LPP)
:Basi
cDef
ini
ti
ons

I
nalinearpr
ogrammingprobl
em,al i
nearf
unct
ioni
smaxi
mized/
mini
mizedsubj
ectt
osat
isf
act
ion
ofl
i
nearequali
ti
es/
li
neari
nequal
i
ties.

Example1. 1Fourdi ff
erentmet al
siron,copper,
zincandmanganesear erequir
edtopr oducethr
ee
commodi tiesA,BandC.Topr oduceoneuni tofA,40kgiron,30kgcopper, 7kgzi ncand4kg
manganesear er equi
red.Correspondingr equir
ementperunitproducti
onofBandCar e70kg
i
ron,14kgcopper ,9kgmanganeseand50kgi r
on,18kgcopperand8kgzi ncrespecti
vely
.Total
avail
abl
equant it
iesofmet al
sar e:1met ri
ct oniron,
5qui
ntal
sofcopper ,2quintal
sofzi ncand
manganeseeach.Thepr of
it
si nselli
ngoneuni tofA,BandCar eRs.300,Rs. 200andRs.100
respect
ively.FormulateaLPPt odet erminehowmanyuni t
sofA,BandCneedbepr oducedsoas
tomaximi zeov eral
lpr
ofit
.

For
mul
ati
on

Commodi
ty Requi
rement/uni
t Pr
ofi
t/
uni
t
I
ron Copper Zi nc Manganes
e
A 40 30 7 4 300
B 70 14 0 9 200
C 50 18 8 0 100
Avai
l
abi
l
ity 1000 500 200 200

Letx 1u ni
ts,x2 uni
tsandx3 uni ts(assumednon- negat iv
e)ofA, BandCbepr oducedsoast o
maxi mizethepr ofi
t.I
nt hispr oduct
ion,totalr equi
rementofi r
on,copper ,zincandmanganesear e
(40x1+70x2+50x3)kg,( 30x1+14x2+18x3)kg,(7x¬1+8x3)kg and ( 4x1+9x2)kg r espect i
vely,whi
ch
shouldnotexceedav ai
labl eamountofmet al s.Thet ot
al prof
iti
nt hi
ssel l
ingis300x1+200x2+100x3,
whichwewantt omaximi zewi t
hthev ari
ationofx1, x2,
x3.Hencet hepr oblem canbef or
mul at
edas
fol
lows:
Maxi mizez=300x1+200x 2+100x3subjecttot hecondi ti
ons
40x1+70x2+50x3≤1000, 30x1+14x2+18x3≤500, 7x¬1+0x2+8x3≤200, 4x1+9x2+0x3≤200;x1,
x2,
x3≥0.

Exampl
e1.
2Ahospi
tal
hast
hef
oll
owi
ngmi
nimum r
equi
rementofnur
ses:

Per
iod Durati
on Mini
mum number
1 6a.m.-10a. m. 60
2 10a.m.-2p.m. 70
3 2p.
m. -
6p. m. 60
4 6p.m.-10p.m. 50
5 10p.m.-2a.m. 20
6 2a.m.-6a.m. 30

Nursesrepor
ttot
hehospi
tal
wardsatt
hebegi
nningofeachper
iodandworkf
oreightconsecut
ive
hours.Thehospi
talwant
stodeter
minet
hemi nimum numberofnursessothattheremaybe
3|
Page
suf
fi
cientnumberofnur
sesav
ail
abl
eforeachper
iod.

Formulation
Letxibet henumberofnur seswhoj oi
nt heirdut
iesatthebegi nningofi t
hperi
od(i
=1,
…,6)
.x6
numberofnur seswor kforperi
od6and1andx1numberofnur seswor kforperi
od1and2.Hence
numberofav ailablenur sesforwor ki
ngi nper i
od1i sx1+x6 whi chshoul dmeetthemi ni
mum
requi
rementof60nur sesi nperiod1;similarl
yforotherper
iods.Numberxiofnur sescannotbe
negati
v eandt ot alnumberofnur sesx1+…+x6 needbemi nimi zed.Hencet heprobl
em canbe
formulatedasf ollows:
Minimizez=x1+…+x6 subj ecttotheconditi
ons
x1+x2≥70, x2+x3≥60, x3+x4≥50,x4+x5≥20,x5+x6≥30,
x6+x1≥60;xi≥0(i=1,…,
6)

Not
et hatvari
ablespresentinthefor
mul at
ionofaboveprobl
emsappearswit
hpower1andt
here
i
snot erm contai
ningproductofvari
ables.Abov
epr obl
emsareexamplesofLi
nearPr
ogr
amming
Pr
oblem (LPP).Generalfor
m ofaLPPi s:

Opti
mize(Maxi
mize/Mi nimi
ze)z=c1x1+c2x2+…+cnxn
Subj
ectto a11x1+a12x2+…+a1nxn(≤,
=, ≥)b1

a12x1+a22x2+…+a2nxn(≤,
=,≥)
b2
………………………….
.
am1x1+am2x2+…+amnxn(≤,
=,≥)
bm;
x1,
…,xn≥0.
Z=c1x1+c2x2+…+cnxn i
scal
l
edt
heobj
ect
ivef
unct
ion.c1,
…,cn ar
ecostcoef
fi
cient
sandx1,
….,
xn ar
e
call
eddeci si
onvari
abl es.Theinequal
i
ty∑nj=1ax(
i
jj
≤,
=,
≥) bii
scall
edtheithconstraint
.b1,…,
bm are
requir
ementcoef fi
cients.The constrai
nts x1≥0,…,xn≥0 ar
e cal
led nonnegat
ivi
ty constr
aints.
t
k=(k1,
…,kn)∈Rn i
saf easibl
esoluti
onifk1, …,
kn sat
isfiesal
ltheconstr
aint
s.Setofal lfeasibl
e
soluti
onsofanLPPi nRni scall
edfeasi
bleregionoftheLPP.
NoteOpt i
mizati
onTechni quefr
om RealAnalysi
s(Lagr
angemul t
ipl
iermethod)cannotbeusedinsolvi
nga
LPP sincetheconst rai
ntsinvol
vedarenotnecessaril
yequalit
ies.Alsotheopt i
mizat
iontechni
quesof
analy
sisprovideopti
mum sol uti
onwhicharenecessari
lyi
nter
iorpoint
soft hedomainofdefini
ti
onoft he
funct
iontobeopt i
mi zedbutasweshal lsee,opti
mum poi
ntsofaLPPnecessar i
l
yareboundarypoint
sof
thedomainofdef i
nit
ion.

Probl
em Mani pul
ati
on
(1)Inequal
i
tiesandEquat
ions:Ani
nequal
i
ty∑n
=1a
j x≤b canbeputasanequal
i
jj i
i
ty∑n
=1a
j x+x =b by
i
j j n+i i
i
nt roduct ion of non-negati
ve slack v ar i e xn+i. ∑n
abl j=1ax≥bcan be put as an equal
i
jj i
it
y
n n
∑j=1aijxj-
xn+i=bibyint
roduct
ionofnon-negat ivesurplusv ar i
ablexn+i.Al
soanequal
i
ty∑j=1aijxj=bi
n n
canber epl acedbytwoinequat
ions∑j=1aijxj≤biand ∑j=1aijxj≥bi.
(
2)Nonnegat i
vityoft hev ar i
ables:Simpl exmet hodi sdesignedt osol v
eLPP wher et hev ar iablesar e
nonnegat ive.Ifav ari
abl exjisunr estri
ctedi
nsi gn, t
henitcanber eplacedbyxj/- xj//,wher exj/,xj//≥0.
(
3)Minimi zati
onandmaxi mi zati
onpr oblems:Not et hatmi mum ∑n
ni j=1cx=-maxi
jj
mi zat ion∑n cjxjov
=1-
j ert he
* * * * n *
feasibl
er egion:ifx =( x1, …,xn)mi nimi n
hen∑cjxj≤∑j=1cjxjgi
ses∑j=1cjxj,t ving∑cj(xj)
- ≥∑j=1cj(
n
xj)=-
- n
∑j=1cjxj so
* n
that-xmaxi mizes- ∑j=1cjxj.
(
4)Standar dandCanoni calFor mat s:A LPP i si nst andardf ormati fal lconstrai nts( ot
hert hannon-
negat i
vityrestri
ctions)ar eequal it
ies andal lv ar
iabl
esar enon- negat i
ve.A maxi mi zationLPPi si n
canonicalf orm ifal lv ar i
ables are non-negat iv
e and al lconst rai
nt s( ot
hert han non- negat ivit
y
restr
ictions)ar e≤t ype.Ami nimizationLPPi si ncanonicalfor mi fallv ar
iabl
esar enon- negat i
veand
allconst r
aintsar e≥t y pe.

4|
Page
 [ ]
a11 … a1n
,A= … … … ,a
t t t
(
5)LPPinmat r
ixnot
ati
on:Usingthenotat
ionsc=(
c1,
…,cn),x=(x1,…,
xn),
b=(b1,
…,bm)
am1 … amn
t
maxi
mizat
ionLPP i
nstandardf
orm canbeputas:Maxz=cx, subj
ecttoAx=b, x≥0.

Not
ationEv
eryel
ementoft Rn i
stobet houghtofasacol
t
umnv ect
ororasannx1
mat
rix.Wewri
tea=(
a1,
…,an)≤b=(b1,
…,bn)if
fai≤bi,
foral
li
=1,
…,n.

Exampl eofLPP
Anagr i
cul t
ur almi llmanuf act uresfeedf orchickens.Thi si sdonebymi xingsev erali
ngr edients,suchas
cor n,limest oneoral falfa.Themi xingistobedonei nsuchawayt hatt hef eedmeet scer tai
nlev el
sf or
differentt ypesofnut ri
ent s,suchaspr otei
n,car bohy dratesandv it
ami ns.Supposet hatni ngredients
j
=1, 2,…,nandm nut ri
ent si =1,2,…,m areconsidered.Lett heunitcostofi ngredientjbecjandl ettheamount
ofi ngredi entjt obeusedbexj.Thecosti st herefore ∑n
j=1cx.I
jj
ft
heamountoft hef inalproductneededi sb,
n
thenwemusthav e∑j=1xj=b.Fur thersupposet hataiji
st heamountofnut ri
enti pr esentinauni tofingredient
/
j
,andt hatt heaccept ablel owerandupperl i
mi tsofnut ri
entii nauni toft hechi ckenf eedar el ia nd
ui/r / /
espect ively.Ther efor ewemusthav etheconst r
aint sl ib≤∑n
j a
=1 ix
jj
≤uibf or i
= 1,
… ,
m. Fina ll
y,beca useo f
shor tages,supposet hatt hemi llcannotacquir emor et hanujuni t
sofi ngr edientj .Thepr obl em ofmi xing
thei ngr edient ssucht hatt hecosti smi ni
mi zedandt heconst rai
ntsar emetcanbef ormulat edas:
Mi nimi zec1x1+…+cnxn
subj ectt o Opt i
mal Solutionx*
x1+…+xn=b
bl /
1≤ a11x1+a12x2+…+a1nxn≤bu1/ x
……
/
blm≤ am1x1+am2x2+…+amnxn≤bum/ c:
0≤x1≤u1, ….,0≤x n≤un. Feasible Di r
ect i
on
Region of
Gr
aphcal
Met
hodofsol
vi
ngLPP
c1x1+c2x2=z2(z2>
Thismet hodappl iestoanLPPwi t hatmostt hreedeci sion
variabl es.
Consi dert heLPP:
Maxi mi zectx
Subj ectt oAx≤b, x≥0. x1
c1x1+c2x2=
Thef easibl eregionconsi stsofall vectorsxsat isfy
ing
Ax≤b, x≥0.Amongal lsuchpointsweneedt of i
nd
apoi ntxwi thmaxi malctxv al
ue.Not et hatpoint swi t
hsamev alueofzl iesont heline(i
n2D)orpl ane( 3D)
t
cx=z,t hati s,c1x1+c2x2=z( i
n2D)orc1x1+c2x2+c3x3 =z( in3D) .Si
ncezi stobemaxi mised,thel i
ne( planei n
t
3D)cx=zi st obemov edpar al
leltoi tsel
fint hedi r
ect i (
∂z ∂z
on∇z= , =(
∂x1 ∂x2) c1,
c2) t
=c (i
ncaseofmi nimization,
ctx=zi st obemov edpar all
eltoitselfinthedi recti
on-∇z) .Notet hatast heopt i
malsolutonx*=(
i x1*,
x2*)is
* * * * t
reached,t hel inec1x1+c2x2 =z,wher ez=c1x1+c2x2,cannotbemov edf artherinthedirect i
onc because
thiswi llleadt oonl ypoi ntsoutsidet hef easibler egion.Inotherwor ds,onecannotmov ef rom x* i na
t
directiont hatmakesanacut eangl ewi t
hc andhencei ncreasest heobj ectiv
ef unctionv aluewhi le
remai ni ngf easible.
Whi lesol v i
nganLPPusi nggr aphical method, oneandonl yoneoff ol
lowi ngcasesmusthol d:
x* X1
*

X2 Opt
imal
Ray
*
X*
c
c
c

5|
Page
UniqueFini
teOpti
mal Al
ter
nat
ivef
ini
teOpt
imal
s Al
ter
nat
iveOpt
imal
sfor UnboundedOpt
imalSol
uti
on No
Feasibl
eRegion
ForboundedFeasi
bleRegi
on UnboundedRegi
on

Exampl
es
 (Uniquefi
niteOptimalSoluti
on)Maxi mizex1+3x2subjecttox1+x2≤6,-
x1+2x2≤8; x1,
x2≥0.
 (Al
ternati
vefini
teOpti
mal Soluti
on) Maximizex1+x2subjectt
ox1+x2≤6, -x1+2x2≤8; x1,
x2≥0.
 (Al
ternati
veOpt i
malsforUnboundedFeasi bleRegion)
Mi ni
mizex1subj ectt ox1-x2≥-1,-
0.5x1+1.
5x2≤3;
x1,
x2≥0
 (UnboundedOpt imalSoluti
on)Maxi mise3x1+4x2subjecttox1-x2≥0,
-
x1+3x2≤3; x1,
x2≥0.
 (Nof easi
bleregi
on)Maxi mize-2x1+3x2,sub.to–x1+2x2≤2,
2x1-
x2≤3,x2≥4; x1,
x2≥0

Chapt
er2:
Repr
esent
ati
onTheor
em ofFeasi
bleRegi
onofaLPP
Def
ini
ti
on2.
1 Avect nEn i
orbi sal
i
nearcombi
nat
ionofa1,
a2,
…, nEni
aki ffb=∑k αa,f
m=1 j j
orsomer
eal
number sα1,α2,
…,.
αk
n
Definit
ion2. 2Af i
nitenumberofv ectorsa1,a2,…, akinE islinearl
yindependentif∑n
f αa=0i
k=1 j j
mpli
es
n
α1=…=αk=0.a1,a2,…,
akinE i sl i
nearlydependenti fftheyar enotl i
nearl
yindependent
,thati s,t her
eexist
realnumber sα1,α2,
…,,
αk notal lzero,sucht hat∑n α a
k=1 j j
=0h olds.
Definit
ion2. 3Af i
nitenumberofv ectorsa1,a2,…,akinEnspansEni ffanyvect nEncanbeexpr
ori essed
asal i
nearcombi nationofa1, a2,
…,ak.Forexampl {()( )()}
1 - 1 2
e, , , spansE2.
0 3 1
Definit
ion2. 4B={ a1,a2,
…,ak}isabasi sofEni ff( 1)a1,a2,
…,ak i
sli
nearlyi
ndependentand( 2)a1,
a2,…,
ak
spansEn.

I
tcanbeprov edt hat:
 Anysetofnl inearlyindependentvector nEnf
si or sofEn
msabasi
n
 Abasi sofE cont ainsexactlynnumberofv ect
ors
 Gi v
enabasi sB={ a1,a2,
…,an}
,anyv ect
orbi nEn i
suni
quel
yrepr
esent
edi
nter
msoft
hisbasi
s:
n n
b=∑k=1αjaj=∑k=1βjaji
mpl i
esαj=βj,forallj
.

Repl
aci
ngav
ect
ori
nabasi
sbyanot
herv
ect
or

I
nt hesi mplexmet hod,di
ffer
entbaseswil
lbegener
ated,wher eonev ectorfr
om t hel
astbasisisrepl
aced
byanot herv ectortoform nextbasi
s.Wehavetobecarefuli nchoosingthev ectorent
eri
ngandl eavi
ngthe
basi s, becauseot herwisethenewv ect
orsmaynotbeli
near l
yi ndependentandhencemaynotf orm abasis.
n n
Theor em 2. 1LetB={ a1,
a2,…, n
sofE anda=∑k=1αjajbeanon-
an}beabasi null
vectorinE.Ifαj≠0,B1={
a1,
a2,
..,
n
aj-1,
a,aj+1,
…,an}isalsoabasi sofE.

Pr oof Si ncea≠0,atl eastone αj≠0,f orsomej ∈{

1,2,…,n}.Weshow { a1,
a2,
.
.,
aj-1,
a,
aj+1,
…,an}i sl inearl
y
n
i
ndependentandhencef or m abasi sofE.Supposet hereexi stcandci( i≠j)
sucht hat∑i≠jciai+ca=0.
n
Subst i
tuti
nga=∑k=1αjaj,
weget
n
∑i≠jciai+c∑k=1αjaj=0,t
hatis,∑i≠j(+ ai+cαjaj=0.Si
ci cαi) nceBisl i
near l
yindependent,
cαj=ci+cαi=0f ori≠j .Since
n
αj≠0, ,c=0andhenceci=0f ori ≠j andhenceB1={ a1,
a2,
..
,
aj-1,
a,
aj+1,
…,an}i
sabasisofE.

Not
eαj≠0i
sanecessar
yandsuf
fi
cientcondi
ti
onf
orB1t
obeabasi
s.

sofE3wher t t t
Exampl
e2. 1Pr
ovethatB={
a,b,
c}i
sabasi ea=(123),
b=(
241) ,c=(
329) .Pr
ovethat
t t
d=(261) canr
epl
aceanyoneofa,b,
ctof
orm anewbasi
sbut(
364) cannotrepl
acectofor
ma
newbasi
s.

El
ement
aryMatri
xOper
ati
ons
Anel
ementar
yrowoper
ati
ononamat
ri
xAi
soneoft
hef
oll
owi
ng:
6|
Page
  Rowi
androwj ofAarei
nterchanged
 Rowi
ismulti
pli
edbyanon-zeroconstant
 Rowi
isr
eplacedbyrowiplusk(≠0)timesrowj

Ther
ankofamat
ri
x

LetAbeanmxnmat ri
x.TherowrankofAi sequaltot hedimensionofthev ectorsubspaceofEngener ated
byrowv ectorsofA( thati
s,maximum numberofl i
near l
yindependentrows( consideredasel ement sofEn)
ofA),call
edr ow-spaceofA.Thecol umnr ankofAi sequal t
ot hemaximum numberofl inear l
yindependent
m
col
umns( consideredasel ementsofE )ofA.I tcanbepr ovedthatrowr ankofamat rixisal way sequalto
i
tscolumnr ank,andt hecommonv al
ueiscall
edr ankoft hemat ri
x.Ifr
ank(A)=mi n{m, n},thenAi ssai
dt o
beoff ullrank.Itcanbeshownt hatrank(A)
=kif fAcanber educedtot hef or
[ ]
I Q
m k
0 0
throughaf init
e
sequenceofel ement aryrowand/ orcolumnoperations,wher eIki
stheidentit
ymat r
ixofsi zek.El ement ar
y
row operati
onsdonotchanger ow rankofamat ri
x .I
fAbeanmxm mat ri
xandr ank(A) =m,t henAi s
i
nverti
ble.Format ricesA,Bconformableforproduct,rank(AB)≤min{r
ank(A),
rank(B)}.

( )
2 1 4 3
Exampl
e2.
2Fi
ndt
her
owr
ankofA=3 2 6 9
1 1 2 6
Appl
yi
ngel
ement
aryr
owoper
ati
onsonAi
tisr
educedt
orow-
reducedechel
onmat
ri
x:

( )( ) ( )( )
2 1 4 3⃗ 1 1 2 6 ⃗ 1 1 2 6⃗ 1 1 2 6
3 2 6 9R13 3 2 6 9R2- 3R1,R3-2R1 0 -
1 0 -9-R2 0 1 0 9
1 1 2 6 2 1 4 3 0 -
1 0 -9 0 - 1 0 -9

( )
⃗ 1 0 2 - 3
R2,R3+R2 0 1 0 9
R1-
0 0 0 0
Thenon-zer
orowvect
ors(102-3)and(0109)f orm abasi
soft
herowspaceofA.Hencer
ow
rank(
andsocolumnr
ank)ofAi
s2,soAisnotoff ullr
ank.

Si
mul
taneousLi
nearEquat
ions
mxn
Considert
hesystem ofli
nearequat
ionsAx=b,whereA∈ R ,x∈ Rnx1 andb∈ Rmx1 andconsider
theaugmentedmatrix(A,
b)withm rowsand( n+1)col
umns.Ift
her ankof(A,b)isgr eatert
han
rankofA,thenbcannotbeexpr essedasal i
nearcombinat
ionofrowsofA:a1, …,an andhence
ther
eisnosolut
iontothesyst
em Ax=b.Henceforthesy
stem t
obeconsi st
ent
,rank(A,b)=r
ank(
A) .

W. L.O.G.wemayassumem≤n:i fm>n,wecansol veanassociatedLPPofnconst raint

sandm
variables( call
eddualLPP:seeChapt er5:Duali
tyTheory)andcanobt ai
nsol utiont ogi venLPP
theref rom.
Letr ank( A)=rank(A, b)=k≤mi n{m, n}=m ≤n. Possi bl
y aft
err ear
ranging the r ows of( A,b),l et

[ ]
A1 b1
(A,b)= wher eA1i skxn,b1iskx1, A2i s(m-k)xnandb2i s(m-k)x1andr ank( A1) =rank(A1,b1)=k.
A2 b2
Not et hati fxsat i
sf i
esA1x=b1,t henxsat isfi
esA2x=b2automat i
cal
ly.Thuswecant hrowawayt he
redundantordependentconst r
aint sA2x=b2 andkeept heindependentconst r aintsA1x=b1.Si nce
rank(A1) =k,wecanpi ckkl i
nearlyi ndependentcol umnsofA1.Possi bl
yafterr ear rangingcol umns
of A1,l etA1=( B,N),wher eB isakxknonsi ngularmatrixandN i skx(n-k).Not et hatsucha
submat rixBexi stssi ncer ank(A1)=k.Bi scal l
edabasi cmat r
ix(si
ncecol umnsofBf orm abasi sof
rowspaceofA)andNi scall
edanonbasi cmat r
ix.Letusdecomposexaccor dingl yintoxB andxN,

[]
t t
xB
wher e xB=( x1,
…,xk) and xN=( xk+1,
…, xn).Now A1x=b1 can be wr it
ten as ( B,N) =b1,t hati s,
xN

7|
Page
BxB+NxN=b1.Si nceBhasani nverse,xB=B-1b1-
B-1NxN.Whenk=n,N i sv acuousandwehav ea
-
1
uniquesol ut i
ont othesy stem A1x=b1 (andhencet oAx=b) ,
namel yxB B b1.Ont
,= heot herhand,i f
-
1
n>k, t
henbyassi gningar bi
traryvaluest othev ari
abl esin xN, wecanuni quelysol veforxB=B b1- B-

[]
1
xB
NxN,t oobt ai
nasol uti
on tothesy stem A1x=b1.I nthiscase,wehav eani nfi
nitenumberof
xN
soluti
onst ot hesy st
em A1x=b1( andhencet oAx=b) .Inpar t
icular,thesolution(xB,
0)wher exB=B-1b1
(obtainedbyput tingxN=0)iscal l
edabasi csol utiont ot hesy stem Ax=b.I fk=n,onl yonebasi c
soluti
ont oAx=bexi sts;ifk<n,thent hereispossi bilit
yofobt ainingmor et hanoneb. f.
s.toAx=b.
VariablesinxB ar ecal l
edbasi cv ari
ablesandt hosei nxN ar ecal l
ednon- basi
cv ar
iables.Abasi c
feasiblesolution(B.F.S.)i
sabasi csol uti
oni nwhi chv aluesofal lbasi
cv ariabl
esar enon- negative.
Abasi csol utioninwhi chval ueofatl eastonebasi cv ari
ablei szer oiscal l
edadegener ate basi c
soluti
on;other wiseitisnon- degenerate.

Example2.
3Fi
ndbasi
csol
uti
onsoft
hesy
stem ofequat
ions:4x1+2x2+3x3-
8x4=6,
3x1+5x2+4x3-
6x4=8.
t t
Givensy stem of equat i
onscanbewr i
tt
enasa1x1+a2x2+a3x3+a4x4=b,wher ea1=(43) ,a2=(25),
t t t
a3=(34), a4=(-8-6),b=( 68).Rankofcoef fi
cientmat rix(a1a2a3a4)is2.LetB1=(a1a2),B2=(a1a3)
,
B3=(a1a4) ,B4=(a2a3) ,B5=(a2a4),B6=(a3a4) .detB1=14≠0,detB2=7≠0,detB3=0,detB4=- 7≠0,det
B5=28≠0,detB6=14≠0.Si ncedetB3=0,{a1 , a4}isl inearlydependentandhencet hereisnobasi c
soluti
onoft hesyst em wi t
hx1,x4asbasi cvariables.
ForB1=(a1 a2) ,B1-1 =( )
15 -
14- 3 4
2
,xB=B1-1b=(
1
11) t
=( x1,
x2)t
.Corr
espondingbasicsolut
ioni s(110
t
0), whichi sanon- degener ateb.f.
s.
ForB2=(a1a3) ,B2-1=( )
1
7-
4 - 3
3 4 B
,
2
-1
x =B2 b=( 02) t
=( x1, t
x3).Corr
espondingbasi
csoluti
oni s(0020) t
,
whichi sadegener ateb. f.
s.
Verifysimi larl
ythatb. f.s.corr
espondingt oB4andB6ar edegenerate.Basi
csoluti
oncorresponding
toB5i snon- degener atebutnotf easi
ble.

Conv
exSet
s

Not
ethatanypoi
ntont
hel
i
nesegmentj
oini
ngpoi
nts
() ()
x
1

y
and
x2
y
nE2anddi
i vi
dingt
hej
oinoft
heset
wo

( )
1 2
cx2+x
1

poi
ntsi
nther
ati
oc:
1canbewr
it
tenas
c+1
cy +y
2 1
=
() () () ()
c x2 1 x1
2
+
c+1y c+1y
1
x1
=d +(
y1
1-
x2
d) ,
y2
wher
e0≤d≤1.

c+1
Definit
ion2.5 AsetXi nEn isconvexiffforanyt wopoint
sx1 andx2∈Xandf oranyc,0≤c≤1,
cx1+(1-c)
x2∈X.
Definit
ion2.6cx1+(1-
c)x2for0≤c≤1i scalledaconv excombinati
onofx1andx2; i
f0<c<1,t
henthe
conv excombi nat
ioncx1+(1-c)
x2iscal
ledstri
ct.Moregeneral
ly
,aconv excombinati
onofthesetof
vectors{x1,
…,xn}i
sav ectorofthefor
m c1x1+…+cnxn,wher
e0≤ciforal
liandc1+…+cn=1.

Exampl
e2.
2 2
{()
x 2 2
4 X= y:x+y≤1 i }
saconv
2
exseti
x1 x2
y1
2 2 2
y2
2
( )( )
nE2.Let , ∈Xand0≤c≤1.Thenx12+y
2 2 2
2
1 ≤1

and x2 +y
2 ≤1. Thus [
cx1+(
1-c)
x2]+[cy
1+(1-
c)y
2] =c(
x1 +y
1) +(
1-c)(x2 +y
2) +2c(
1-c)
(x1x2+y1y2)

8|
Page
≤c2+(
1- 2
c)+c(1-
c)[
(x12+x22)
+(y2
1+ y2
2)]≤2c2-
2c+1+2c-
x1
2c2=1;hencec +(
y1
1-
c)
()
x2
y2
∈Xf
()
or0≤c≤1

( )( )
x1 x2
and , ∈XThusXi
y1
y2
sconvex.

Exampl e 2.5 X={ x∈En: Ax=b, x≥0} i s conv ex in En; Let x1,x2∈X and 0≤c≤1. Then
Ax1=b, x1≥0,
Ax2=b, x2≥0.Thus A[ cx1+(1-
c)x2]
=cb+(1-
c)b=b and cx1+(1-c)
x2≥0;hence cx1+(
1-
t
c)x2∈X.Thust hesetofallfeasi
blesol uti
onoft heLPP:Maxcxsubj ectt o Ax=b,x≥0 f
ormsa
conv exset.
X4
X1

Exampl e2.6 Al
lthepointsinsi
deandon arectangl
ecanbeexpr
essedasaconv excombi
n
x
at
ion
1
ofit
s
1 d c 1- c d c 1- c d
vert
ices:x= [ cx2+(
1-c)x3]
+ x1+0. x4,
wher
e + + +0=1and , , d
d+1 d+1 d+1 d+1 d+1 d+1 d+1 d+1
areallnon-
negati
ve.
X2
cx2+(
1- X3
Theor
em 2.2Provethat
 Int
ersect
ionoffi
nit
enumberofconv
exseti
sconv
ex.
 Uni
onoff
ini
tenumberofconv
exseti
snotnecessar
il
yconv
ex

Ext
remePoi
ntsofaConv
exset

Def
ini
ti
on2.
7LetXbeaconvexsetandx∈X.xi
scal
l
edanext
remepoi
ntofXi
fxcannotbeexpr
essedas
astri
ctconvexcombinati
onoft wodisti
nctpoint
sofX.I notherwor ds,x=cx1+(1-c)x2wit
h0<c<1and
x1,
x2∈Ximpli
esx=x1=x2.
Forexampl e,
thefourverti
cesofar ectanglearetheonl yextremepointsofthe
convexsetofall
pointsl
yinginsideorontherectangle,
allpointsont heci
rcumf erenceofacirclear
ethe
onlyext
remepointsoftheconv exsetfor
medbyal l
pointsonori nsidethecircl
e.

Def
ini
ti 8Letx0 ∈Enandc>0.Bc(
on2. ={x∈En:
x0) d( x0 <c}
x,) .

Def
ini
ti
on2. nEnandx0 ∈D.x0i
9LetDbeaconvexseti saboundar
ypoi
ntofDi
f x0)
fBc( ∩D≠∅ and
Bc(
x0)
∩(En-D)≠∅ f
oral
lc>0.

Theor
em 2.
3Ifx0i
sanex
tremepoi
ntofaconv
exsetD,
thenx0i
saboundar
ypoi
ntofD.

ProofSupposex0i
snotaboundarypoi
ntandx0 ∈D.Thenthereexi
stsc>0suchthatBc(
x0)
⊂D.Since
c c
x0+ dandx0- dbelongstoBc(
x0)andhencetoD(wheredi sanyunitv
ector
)andx0canbewr i
ttenasa
2 2
str
ictconv
excombinat
ionoft
hesetwov ect
ors,
hencex0isnotanextremepointofD,cont
radi
cti
on.

Hy
per
planesandHal
fspaces

Ahy
per
pl nEngener
anei ali
zest
henot
ionofast
rai
ghtl
i nE2andt
nei henot
ionofpl nE3.
anei
n
Def
ini
ti
on2.
10Ahyper
pl nEni
aneHi sasetoft
hef
or ctx=z}wher
x∈ E:
m{ eci
sanon-
zer
ovect nEn
ori
t n n
andzi
sar
eal
number
.Equi
val
ent
ly,
H={
(x1,
…,xn)∈E:
∑j=1cjxj=z}
.Ifx0∈H,
thenz=ctx0andhencect.
(x-
x0)
=0.
n
Sincex-x0∈H,cisnormal
tothehyperpl
aneH={ ctx=z}
x∈ E: .Al
so,
asseenear
li
erz=ctx=∑n
, =1c
j xi
jj
ncr
eases

fastestal ( ∂z ∂z
ong∇z= , )
…, =(
∂x1 ∂xn
c1,
…, =ct.
cn)

9|
Page
 n n
Def
ini
ti
on2.
11Rel
atedt
oahy
per
pl ctx=z}ar
x∈ E:
ane{ ethet
wocl
osedhal
f nEn:
spacesi { ctx≥z}
x∈ E:
n t n n t n t
and{x∈ E: cx≤z}andt woopenhal fspacesi nE : {x∈ E: cx>z}and{x∈ E: cx<z}whereci sanon-zer
o
vect
orinEnandzi sareal
number ;t
hehy per planeissaidt odefi
nethecorrespondi
nghalfspaces.Ref
err
ing
toafixedpointx0inthehyper
planedefiningt hetwohal fspaces,t
hehalfspacescanalsobedef i
nedby
n t n t
H1={
x∈ E: c.(x-
x0)≥0}andH2={x∈ E:c. (
x-x0)≤0} .Notet hatH1consi
stsofpointsxforwhichx-x0makes
anacuteangl ewit
hcwher easH2consi st
sofpoi ntsxforwhi chx-x0makesanobt useanglewci
thc.
x
Theor
em 2.
4Hyper
planesandhal
fspacesar
econv
exset
s.Setofal
l x-
x0
X0 c.
(x-
x0)
=0
f
easi
blesol
uti
onst
othesy
stem ofi
nequat
ionsAx≤b,
x≥0,
bei
ngi
nter
sect
ion
x-
x0
off
int
enumberofhal
fspaces,
isconv
ex.

Ray
sandDi
rect
ions:
Araywi
thv
ert
exx0anddi
rect
iondi
stheconv
exsetR={
x0+cd:
c≥0}
.

Direct
ionsofaconv
exset
:Giv
enaconvexsetX,
anonzer
ov ectordi
scal
leddi
rect
ionofX,
ifff
oreach
x0∈X,allt
hepoi
ntsoft
heray{
x0+cd:
c≥0}withv
ert
exatx0belongtoX.
x0+cd

Asapar
ti
cul
arcase,
consi
dert
hepol
yhedr
alset(
thati
s,setofpoi
ntsofi
nter
sect
ionof x0 x0+cd

d2
f
ini
tenumberofhal
fspaces)X={
x:Ax≤b,
x≥0}
.Thenanonzer
odi
sadi
rect
ionofXi
ff
d1
A(
x+cd)≤b,
x+cd≥0,
foreachc≥0andf
oreachx∈X.Si
nceAx≤b,
A(x+cd)≤bhol
dsf
or

al
lc≥0i
ffAd≤0[i
fa1d1+…+andn= Ad≤0doesnothol
d,t
her
eexi
stsi
∈{1,
…,m}sucht
hatai1d1+…+aindn>0.
Then

0≥bi-
(ai1x1+..
.+ainxn)≥c(ai1d1+…+aindn)cannothol
df oral
l c>0sincebi-
(ai1x1+.
..
+ainxn)andai1d1+…+aindni
s
fi
xed.Si mi l
arly
, x+cd≥0, foreachc≥0i f
fd≥0: i
fdi<0,i
∈{1,…,n},
thenxi+cdi<0f orlargecsincexi,di>0.Thus
disadi rect
ionofXi ffd≥0, d≠0andAd≤0hol ds.Similarl
y,ifX={x:
Ax=b, x≥0},di sadir
ect i
onofXi ff
d≥0,d≠0andAd=0hol ds.

Not
eAboundedconv
exsethasnodi
rect
ion.
t t
Exampl
e2.
7 Consi
dert
hepol
yhedr
alsetX={
(x1,
x2):
x1-
2x2≤6,
x1-
x2≤2,
x1≥0,
x2≥0}
.Letx0=(
x1,
x2) bean
fx0+cd=( x2 cd2)∈X,f
t t
arbi
tr
arypoi
ntofX.Anon-
zer
od=(
d1,
d2)isadi
rect
ionofXi
f x1+cd1,+ oreachc≥0.
Thus,

x1-
2x2+c(
d1-
2d2)≤6,
x1-
x2+c(
d1-
d2)≤2,
x1+cd1≥0,
x2+cd2≥0ar
etohol
dforal
lc≥0.

Sincet hel
asttwoi nequalit
iesaretohol
df orarbi
tr
ar ynon-negativex1,
x2¬,
c,i
tfol
lowsthatd1≥0andd2≥0.
Simi l
arl
y,f
rom fir
stt woi nequali
ti
esitf
oll
ow thatd1≤2d2 andd1≤d2.Si nced1≥0andd2≥0,d1≤d2 i
mplies
t
d1≤2d2.Thusd=(d1,d2)i sadirect
ionofXif
fd1≥0andd2≥0, d1≤d2.Thust wonormali
zeddir
ecti
ons(
thatis,

( )
t
t 1 1
hd12+d22=1)ar t
directi
ond=(d1,
d2)wi t egi
venby(0,1) and , .
2 2
Ext
remeDi
rect
ionsofaconv
exset

Thenot i
onofext r
emedi r
ecti
onsissimilartot henotionofext r
emepoi nt
s.Anextremedi r
ecti
onofa
convexsetisadi r
ecti
onofthesetthatcannotber epresentedasaposi t
ivecombinati
onoft wodisti
nct
di
recti
ons(thatisonecannotberepresentasaposi t
ivemul ti
pleoftheother)oft
heset .Anyraythatis
contai
nedint heconvexsetandwhosedi recti
oni sanext r
emedi rect
ioniscall
edanext remeray.I
nt he

( )
t
t 1 1
poly
hedralsetmenti
onedinaboveexample,(0,
1) and , ar etwoextr
emedi r
ect
ions.
2 2
Pol
yhedr
alSet
sandPol
yhedr
alCones

Apol
yhedr
alsetorpol
yhedr
oni
sint
ersect
ionofaf
ini
tenumberofhal
fspaces.Aboundedpol
yhedr
alseti
s

10|
Page
cal
ledapoly t
ope.Si
nceahal f
spacecanber epresentedbyani nequal
i
tyoft het
ypeaix≤bi,
apol yhedralset
i
canber epresent
edbyt hesy st
em ofequationsa x≤bif ori=1,
…,m,thatisbyAx≤b,wher eAi sanmxn
matrixwhoseit hr saiandbi
ow i sanm vect or
.Si nceanequat i
oncanbewr itt
enast woi nequali
ties,a
pol
y hedr
alsetcanber epresentedbyaf i
nitenumberofl ineari
nequali
ti
esand/ orequations.Clear l
y,a
pol
y hedr
alsetisaconvexset.

Aspeci alcl
assofpoly
hedralset
sispolyhedr
alcones.Apol
yhedr
alconeisint
ersect
ionofafi
nit
enumber
ofhalfspaces,whosedef ini
nghy per
planespasst hr
oughtheori
gin.Thusapol yhedr
alconecanbe
repr
esentedas{x:Ax≤0},
wher eAisanmxnmat ri
x.

Ext
remePoi
ntsandExt
remeDi
rect
ionsofPol
yhedr
alset
s:Geomet
ri
cInsi
ght

Letusconsi
dert hepolyhedr al
setX={x:
Ax≤b,
x≥0},whereAism xnmat ri
xandbi
samx1vect
or.Ax≤bcan
ai)
T
bewrit
tenasai1x1+.
..
+ainxn≤bi,i
=1,
.
..
,m,oras( eai=(
x≤biwher ai1.
..
ain)i
sthei
thr
owofA.

ai)
T
ai)
T
Def
ini
ti
on2.
12Letx1∈X.Aconst
rai
nt( x≤biofXi
sbi
ndi
ngatx1i
ff( x1=bihol
ds.

ai)
T
ai)
T
Theor
em 2.
5Ifaconst
rai
nt( x≤biofXi
sbi
ndi
ngatx1andx1=αx2+(
1-α)
x3,
0<α<1,
x2,
x3∈X,
then( x≤bi
i
sal
sobi
ndi
ngatx2andx3.

ai)
T
ai)
T
ai)
T
ai)
T
ai)
T
ai)
T
ai)
T
Pr
oof( x2≤bi,
( x3≤bi( sincex2,
x3∈X).bi=( x1=α(
( x2)
+(1-α)(( x3).I
fanyof( x2or( x3
iT iT
i
s<bi,
thenbi<αbi+(1-α) bi=bi,contr
adi
ction.Thus(a)x2=(a)x3=bisi nce0<α<1.

Anext r
emepoi ntnowcanal ternatel
ydef i
nedasf ollows.Lett hehy perpl
anesassociatedwiththe( m+n)
defi
ninghal f
spacesofXber ef err
edt oast hedefi
ninghy perpl
anesofX.Asetofdef i
ninghyperplanesare
l
inearlyindependentiffthecoef f
ici
entmat ri
xwi t
ht hissetofequat ionshasf ul
lrow rank(forexampl e,
x1+x2=1andx1=0ar elinearl
yi ndependentsi ncerow r ( )
ankof
1 1
1 0
i
s2,equalt onumberofr owsi nthe
n
mat r
ix).
Thenapoi ntx1∈X⊆E canbeshownt obeanext r
emepoi ntofXi ffx1 l
i
esonsome nl i
nearly
i
ndependentdef ininghyperplanesofX.I fmor et
hanndef i
ninghy perpl
anespasst hr
oughanext remepoi nt,
thensuchanext remepoi ntiscal ledadegener ateextremepoi nt.Theexcessnumberofpl anesov ernis
call
edi tsorderofdegener acy .A polyhedronwi t
hatl eastonedegener ateextremepoi ntiscal l
eda
degeneratepolyhedralset.Letusv eri
fytheequival
enceoft wodef i
niti
onsofextr
emepoi ntnext.

Theor 6 x1∈X⊆En i
em 2. sanext
remepoi
ntofXi
ffx1 l
i
esonsome nl
i
near
lyi
ndependentdef
ini
ng
hy
per
planesofX.

Pr
oofWhenx1∈Xl i
esonsomenl inear
lyindependentdefininghyperpl
anes, thenifwecanwr i
tex1=αx2+(1-
α)
x3,0<α<1,x2,
x3∈X,t henx2,x3 al
so li
eont hosehy perplanes(Theorem 2. 5)
.Thesol ut
iont othesen
hyperpl
aneequat i
onsi sunique(sincerowsoft hecoef f
ici
entmat ri
xarelinear l
yindependent)
:LetA1x=b1
bethemat rixrepresentati
onoft henl inearl
yindependenthy perpl
anes;t henA1( x2-
x3)
=0,sot hat(a1 a2
…an)t
(
x2-
x3)
=0,wher eaiistheithr owofA1,sot hat,since{a1 a2…an }islinearlyindependent
,x2-
x3=0,that
i
s,
x2=x3.Thusx1isanext remepoi ntaccordi
ngt oearl
i
erdef ini
ti
on.

Conv er
sely,l
etthemaxi mum numberofl i
nearl
yindependentdefini
nghy perpl
anesbi ndingatx1∈Xber <n
andar egivenbyGx=gwher eGi srxnmat r
ix.LetG=(g1,
…,gn)wheregii st heithcolumnofG, whi
chisar-
vector.Since n>r,
{g1,
…,gn}isl i
nearl
y dependenti n Er;hence ther e exi st
s d=(d1,…,dn)≠0 such t
hat
d1g1+…+dngn=0holds,t
hatis,ther
eexistsd≠0sucht hatGd=0holds.Thenf orr
ealc, x2=x1+cd∈Xandx3=x1
-cd∈X,sinceGx2=gandGx3=gandt heconstrai
ntsofXt hatarenotbi ndingatx1r emai nsat i
sfi
edprov
ided
c>0i ssmal lenough.Consequent l
y,sincex1=0. 5x2+0.
5x3 andx2,x3∈X, x1 i
snotanext remepointofX
accordingtoori
ginaldefi
nit
ion.

Ex
ampl
eConsi
dert
heLPP:Maxz=x1+3x2 subj
ectt
ox1+x2≥2,x1-
x2≤2,x1≥0,
x2≥0.Thedef
ini
nghy
per
planes

11|
Page
 ( ) ( ) () ()
1 1 2
1 -1 x1 2 0
aregivenbyAx=bwher eA= , x= , b= .B: i sapoi ntinthef easibleregion(inE2)thr
oughwhi ch
1 0 x2 0 2
0 1 0
exactlytwo (n=2)l.
i.defi
ning hy per planespass:A1 x=b1 wher eA1=( ) ()
1 1
1 0
,
2
b1= ;hencei
0
ti sa non-

degenerateext r
emepointofthef easi bler egi ()
1
on.A: i
1
snotanext remepoi ntsincer=1(<2=n)numberof

defi
ninghy perpl
anepassthroughA.C: i ()
2
0
sapoi ntthr oughwhi ch3hy perplanespassandhenceCi sa
degenerateext r
emepointandt heor derofdegener acyi s3-2=1.Thehy per planesbindatCar ex3=0,x2=0
and x4=0 (whenwet hi
nkofconst raintsasx1+x 2-x3=0,x1-
x2+x4=2 and x2=0 usi ng slackand sur plus
vari
ables).Hencethebasesat tachedt ob. f
.s.Car eB1={ a1,a2,a4}( wit
hx3 asnon- basi
c),B2={a1,a3,a4}
,
B3={a1,a2,a3}.Thevalueoft hebj ect i
vef unctionr emai nsunal t
eredwhent hesebasesar et raversed
consecutivel
y.

Degener
ateext
reme

Notewi
threfer
encetofi
gur
esideby
,not
ethatev
ery
Two-
ext
remepointi
sformedbysomen=3li
near
ly

I
ndependentdef
ini
nghy
per
pl nE3andatanyot
anesi her Adj
acentext
.

Poi
nts,
fewert
hann=3l
i
near
lyi
ndependenthy
per
planesar
e

bi
nding.Attheindicat
eddegenerateext
remepoi
nt,f
ourdefini
nghyperpl
anesarebi
nding;theorderof
degeracyi
sone.I nparti
cul
ar,
thereismoret
hanonechoiceofselect
ingn=3li
nearl
yindependent
hyperpl
anesthatgivethisv
ertexasthei
runi
quei
ntersect
ionpoint
. x4

Repr
esent
ati
onofPol
yhedr
alSet
s x3

Boundedpol
yhedr
alSet
s(Pol
ytopes) x
x5
Consi
dert
hepol
ytope(
thati
s,t
her
eexi
stsk>0sucht
hat‖
x‖<k,
foral
lxi
ntheset
) x2

ofsi
de-
byf
igur
ewhi
chi
sfor
medast
hei
nter
sect
ionoff
ivehal
fspaces.I
thasf
iveext
reme y x1

Poi
ntsx1,
x2,
x3,
x4,
x5.Not
ethatanypoi
nti
nthesetcanbeexpr
essedasaconv
excombi
nat
ion

oftheextremepoint
s.Toill
ust
rat
e,notethatxcanberepresent
edasx=cy+(
1-c)
x4,
0<c<1.Again,
y=dx1+(
1-
d)x2,f
orsomed,0<d<1.Hencex=cdx1+c(
1-d)
x2+(
1-c)
x4hasbeenexpr
essedasaconv excombinat
ionofthe
extremepoint
sx1,
x2andx4.
x

UnboundedPol
yhedr
alSet
s x
x2 y
Theunboundedpol
yhedr
alsetshownsi
debyhast
hreeext
remepoi
nts
x1
x1,
x2,
x3andt
woext
remedi
rect
ionsd1andd2.Ev
erypoi
nti
nthesetcanbe

writ
tenasaconv excombinat
ionoft heextremepoi ntspl usanon- negat
ivel
inearcombinati
onoft he
extr
emedi recti
ons.Forexample,thedirect
iony =cx1+(1-
c)x3,f
or0<c<1 and thedirect
ionx-ycanbe
expressedasaposi ti
vecombi
nati
onoft heextremedi rect
ionsd1 andd2.Hencex=cx1+(
1-c)
x3+α1d1+α2d2,
forsomeposi t
iveα1,
α2.

Weshal
lassumef
oll
owi
ngr
esul
ttohol
dwi
thoutpr
oof
:

Repr
esent
ati
onTheor
em ofPol
yhedr
alSet
s(Car
atheodor
y)

Theor
em 2.
7 LetX={
x:Ax≤b,
x≥0}beanonempt
ypol
yhedr
alset
.Thent
hesetofext
remepoi
ntsofXi
snot
12|
Page
emptyandhasaf i
nitenumberofpoi
nts,say
,x1,
x2,
…,xk.Further mor e,t
hesetofext remedir
ecti
onsi
sempty
i
ffXisbounded.IfXi snotbounded,t
hent hesetofext r
emedi r
ectionsi snonempt yandhasafini
te
n
numberofvect
ors,say,
d1,
d2,
…,dn.
Mor
eover
,x∈Xiffx=∑kj αx +∑
=1 j j i βd ,∑k
=1 i i j
α=
=1 j 1,α,β
j i
≥0,f
oral
li
,j.

NoteConsi dert henonempt ypol yhedralsetX={ x:Ax=b,

x≥0}.Replaci
ngeachequal i
tyconst r
aintbyt wo
equivalentinequalit
yconst r
aints,al
lofabov ediscussionalsohol dsforpointsofX.Far t
her,asdiscussed
above,t heextremepoi nt
sofXar epointofintersecti
onofnl inearl
yi ndependenthy perpl
anes.Howev er,
from theequal i
tyconstrai
ntsAx=b, weknowt hatm l i
nearl
yindependenthy perplanesarealwaysbindingat
anyfeasi bl
esolut i
on.Henceatanyext remepoi ntxofX, t
heremustbesome( n-m)addit
ionalhyperpl
anes
bindi
ng f rom t he non-negativ
ity constr
aint
s,say xN=0, which togetherwi th Ax=b produce n l i
nearl
y
i
ndependenthy perplanesinnunknowns,t herebyy i
eldingxast heuniquesol ution.NotethatxisaBFSof
thesy stem.

Chapt
er3:
TheSi
mpl
exMet
hod
Consi
dert hef
oll
owingLPP:Maxi mizez=ctx,subjecttoAx=b,x≥0.Letx1, …,
xkbet heext remepoi nt
softhe
const
raintsetandletd1,
d2,
…,dn beext r
emedi r
ectionsoft heconstraintset( Repr esentati
onTheor em).
n
Recal
lthatanypoi
ntxsati
sfy
ingAx=b, x≥0canber epresent
edasx=∑j=1αjxj+∑i=1βidi,
k
∑j=1αj=1,
k
αj,
βi≥0,f
oralli
,j
.
Ther
efor
etheLPPcanbet
ransf
ormedi
ntoapr
obl
em i
nthev
ari
abl
esα1,
…,,
αkβ1,
…,βn:

=1(
cxj)
t t
Maxi
mizez=∑k
j αj+∑n
=1(
j cdj)
βj

subj
ectt
o∑k
=1α
j =1,
j
αj,
βj≥0,
foral
lj
.
t
Si
ncet
heβj’
scanbemadear
bit
rar
il
ylar
ge,zv
aluemaybei
ncr
easedwi
thoutbound i
fcdj>0f
orsome
t
j
=1,
…,n.I
fcdj≤0f
oral
lj
=1,
…,n,
thent
hecor
respondi
ngβjcanbechosenaszer
o.Nowi
nor
dert
omaxi
mizez
=1(
cxj)
t t t
=∑k
j αjov
erα1,
…,αk sat
isf
ying∑k
=1α
j =1,αj≥0,f
j
oral
lj,wesi
mpl
yfi
ndt
hemaxi
mum cxj,saycx
p,l
etαp=1
andal
lot
herαj’
sequal
toz
ero.
t
Tosummar
ize,
theopt
imalsol
uti
onofabov
eLPPi
sfi
nit
eif
fcdj≤0f
oral
lext
remedi
rect
ions.Fur
ther
mor
e,
i
fthisi
sthecase,thenwefindthemaximum valuebypickingt
hemaxi mum obj
ect
iveval
ueamongall
ext
remepoint
s.Thi
sshowsthati
fanoptimalsol
utionexi
sts,wemustbeabletofi
ndanoptimalext
reme
t
poi
nt.Ofcour
se,ifthemaxi
mum cxjoccur
satmor ethanoneindex,t
heneachcorr
espondingext
reme
poi
nti
sanopt
imalpoi
ntandeachconv
excombi
nat
ionoft
hesepoi
ntsi
sanopt
imalsol
uti
on(
alt
ernat
ive
opt
ima)

NoteConsi
dertheLPP:Mini
mizectx,subj
ecttoAx=b,
x≥0.Si
mil
arconsi
der
ati
onsshow t
hatt
heopt
imal
t
sol
uti
onofabov
eLPPi sf
ini
tei
ffcdj≥0foral
lext
remedir
ecti
ons.

Exampl e3.1 Considerthe feasi

bleregi
on ofthe LPP:Maxi mize –x1+3x2,subjectto –x1+x2≤2,-
x1+2x2≤6;x1,
x2≥0.Notethatthefeasi
bleregi
onhast hreeextremepoi nt
0
sx1= ,
0 () () ()
0
x2= ,
2
2
x3= ,andt
4
wo

extremedi recti
1
onsd1= ,
0 () ()
2
d2= .Thusctx1=(
1
-
0
()
13) =0,
0
ctx2=(
-
0
1 3) =6,
2 ()
ctx3=(
-
2
()
1 3) =10,
4
ctd1=(
-() 1
1 3) =-
0
1, t
cd2=(-
2
1()
13) =1.Si t
ncecd2>0,gi
venLPPhasanunboundedsolution.

WenextconsidertheLPP:Maxi mi
se-4x1+x2subjectt
ot hesameconstr
ai s.Thenctx1=(
nt -
0
41) =0,
0 ()
ctx2=(-
4

()
0
2
ctx3=(
1) =2, -
2
4 1) =-
4 ()
ctd1=(
4, -
0
0 ()
4 1) =0,ctd2=(
-
2
4 1) =-
1 ()
7.Si
t
ncecdj≤0forallext
remedi r
ecti
ons,f i
nit
e
t t
opt
imalsolut
ionexist
s.Si
ncemaxi mumjcxj=cx2,opti
mal sol
uti
oni
sx2andmaxi mum v al
ueoftheobjecti
ve
f
unct
ioni
s2.

13|
Page
Basi
cFeasi
bleSol
uti
ons

Weintroducet
heconceptofb.f
.s.andshow t
hattheycor
respondtothegeomet
ri
cconceptofext
reme
poi
nts.Thi
scharact
eri
zat
ionwi
l
lenableustoal
gebr
aical
l
ydescri
bethesi
mplexmet
hod.

Defini
tionConsi derthesystem Ax=b,x≥0,wher eAi sanmxnmat ri
xandbi sanmx1v ect or.Suppose
rank(A,b)=r
ank(A)=m≤n( Ther easonwhywecanassumem≤nwi thoutlossofgeneral
it
ywi l
lbedi scussed
i
ndual itytheor
y ).Afterpossiblyrearr
angi
ngthecol umnsofA,l etA=(BN)wher eBisanmxm i nver
tibl
e

mat ri
xandNi sanmx( n-m)mat r
ix.Thesolut
ionx=()xB
xN
t
ot heequati
onAx=b,wher exB=B-1bandxN=0i s

call
edabasi csoluti
onoft hesy st
em Ax=b.IfxB ≥0,thenxi scall
edabasi cfeasi
blesol
uti
on( b. f
.s.)tothe
system Ax=b,x≥0.Bi scal l
edabasi cmatri
x.Thecomponent sofxB ar ecal
ledbasicvariablesandt he
component sofxN arecall
ednon- basicvari
abl
es.I fxB >0,xiscall
edanondegener ateb.f
.s.andi fatleast
onecomponentofxBi szer
o, t
henxi scall
edadegener ateb.f
.s.

Exampl
e3. 2 Consi
derthepol
yhedr
alsetdefi
nedbyt hesy
stem :x1+x2≤6,x2≤3,x1,
x2≥0.Byi
ntr
oduci
ng
sl
ackvar
iabl
esx3andx4,
wegetthesy
stem ofequal
i
ties:

x1+x2+x3 =6

x2 +x4=3

x1,
x2,
x3,
x4≥0.

Compar
ingwi
thAx=b,hereA=(a1a2a3a4)
= (
1 1 1 0
0 1 0 1
.Findi)
ngb.
f.
s.cor
respondst
ofi
ndi
ngi
nver
ti
ble2x2
submat
ri
xBofA.Fol
lowingarepossibl
ewaysofext
ract
ingBoutofA:

1.B=(
a1,
a2)
=
1 1
0 1( )
,| -
1
B|≠0.xB=B b=
1 -
( )()() ( )
1 6 3 x1
= = ,
0 13 3 x
2
x3 0
xN= =
x4 0 ( )()
)()() ( ) ( )()
1 0 6 6 x1 x2 0
2.B=(
a1,
a4)
=
1 0
0 1( )
,| -
1
B|≠0.xB=B b= (= = ,
0 1 3 3 x4
xN= =
x3 0
(
33)

)()() ( ) ( )()
1 1 6 3 x2 x1 0
3.B=(
a2,
a3)
=
1 1( )
1 0 ||
,B ≠0.xB=B-1b=
1 -( = = ,
1 3 3 x3
xN= =
x4 0 (
03)

)()( ) ( ) ( )()
1 0 6 6 x2 x1 0
4.B=(
a2,
a4)
=
1 1( )
1 0 ||
,B ≠0.xB=B-1b=
- ( = = ,
1 13 -3 x4
xN= =
x3 0

)()() ( ) ( )()
1 0 6 6 x3 x1 0
5.B=(
a3,
a4)
=
1 0
0 1( )
,| -
1
B|≠0.xB=B b= (= = ,
0 1 3 3 x4
xN= =
x2 0 (
00) (
60)

Notet hatsol
utionscor respondingt o1,2,
3and5ar eb.
f.s.whi lethatcorrespondi
ngto4i snotfeasi
ble
4 t t t t
thoughbasic.Theb. f.
s.si nE ar ex1=(
3300), x2=(
6003), x3=(0330)andx4=( 0063), whi
ch,onbeing
t t t t
project
edinthe( x1,
x2)space,givesthepoints(
33) ,(60),(03) and(00) whicharepr
ecisel
ytheextr
eme
pointsofthefeasibl
er egionoftheor i
ginal
LPP.

NoteSi
ncea1,a3 ar
eli
nearlydependent
,ther
eisnobasicsol
uti
onoftheabov
esy
stem wi
thx1 andx3 as
n
basi
cvar
iabl
e.Ingeneral
,thenumberofb.f.
s.i
slesst
hanorequalt
o .
m () x4=0

Not
eBasi
csol
uti
onsandb.
f.
s.scanal
ter
nat
elybev
iewedasf
oll
ows.Each
x2=0
const
rai
nt,
incl
udi
ngt
henon-
negat
ivi
tyconst
rai
nt,
canbeassoci
ated
x1=0 x3=0
uni
quel
ywi
thacer
tai
nvar
iabl
e.Thust
heconst
rai
ntx1+x2≤6,
x2≤3,
x1,
x2≥0
14|
Page
canbeassoci at
eduni quelywi t
hx3,x4,
x1 andx2 respecti
vely
;forexampl e,x3=0i stheboundar yoft he
halfspacecorr
espondingt ox1+x2≤6.I
ntheadj acentdi
agram,basicsolut
ionscorrespondt otheint
ersect
ion
oftwol inesinthegraphandt hel i
nescor respondtothenonbasicv ar
iables.I
nt hegr aph,t
herearef i
ve
pointsofinter
secti
onscor respondingtofi
v ebasicsolut
ions.Notethatthereisnoi nt
ersecti
onoft heli
nes
x2=0andx4=0andt hust hereisnobasicsol uti
onwithx2,
x4asnon-basicvari
ables.

Example3.3(i
l
lust
rat
ionofdegener
ateandnon-
degener
ateb.
f.
s.)Consi
dert
hef
oll
owi
ngsy
stem of
i
nequal
i
ties:

x1+x2≤6,
x2≤3,
x1+2x2≤9;
x1,
x2≥0.Not
ethatt
hef
easi
bler
egi
oni
spr
eci
sel
y
x2=3
(
0,3) (
3,3
sameasi
npr
obl
em abov
esi
ncet
heconst
rai
ntx1+2x2≤9i
s‘r
edundant
’.

Af
teraddi
ngsl
ackv
ari
abl
esx3,
x4,
x5,
weget x4=0

x1+x2+x3 =6 x1=0
x1+x2=
x2 +x4 =3

x1+2x
2 +x
5=9;
x1,
x2,
x3,
x4,
x5≥0 (
0,0) (
6,0)

Letusconsi
dert
heb.
f.
s.wi
thB=(
a1a2a3)
.

( )()( )() ()
1 1 1-1 6 0 -
2 16 3
t t t
xB=(
x1x2x3)=0 1 0 3=0 1 0 3 = 3,
xN=(
x4x5)=(
00)
1 2 0 9 1 1 - 19 0
Thi
sisadegener
ateb.
f.
s.si
ncet
hebasi
cvar
iabl
ex3=0.
Nowconsi
dert
heb.
f.
s.wi
thB=(
a1a2a4)
.

( )()( )() ()
1 1 0-1 6 2 0 -
16 3
t t t
xB=(
x1x2x4)=0 1 1 3=- 1 0 1 3 = 3,
xN=(
x3x5)=(
00)
1 2 0 9 1 1 - 19 0
Notet
hatthi
sbasi
sgi v
esr i
set
othesameb. f
.s.obt
ainedbyB=( a1a2a3).I
tcanal
sobecheckedt
hatt
he

()
3
t t t
b.
f.
s.wi
thbasi
sB=(a1a2a5)i
sgi
venbyxB=(
x1x2x5)=3, xN=(
x3x4)=(00).
0
Not e that allthree of the f oregoi
ng bases r epr
esent the singl
e ext r
eme poi nt or b.f
.s.
(x1,
x2,
x3,
x4,
x5)
=(3,
3,
0,
0,0)
.Thisb.f
.s.isdegeneratesinceeachassociat
edbasisinvol
ves abasicvar
iabl
eat
l
ev elzero.Theremaini
ngextremepoi nt
scor r
espondt onondegenerateb.f
.s.s;f orexample,forthe
extremepoint(0,
3)(
x1=0,
x2=3)
,correspondingb.
f.s.i
s(0,3,
3,
0)wit
hx1,x4asnon-basi
cv ar
iabl
es.

Reduct
ionofaF.
S.t
oaB.
F.S.

Theor
em 3.
1I heLPP:Maxz=ctxsubj
ft ectt
oAx=b,
x≥0,r
ank(
A)=m,hasaf
easi
blesol
uti
on,t
hent
heLPP
hasaBFS.
t
ProofLetx=(
x1 ...xn) beafeasi
blesol
uti
ontotheLPP.Letpcomponent
sofxbeposi tiveandt he
p
remaini
ngcomponentsbezero.WLOG,lett
hefi
rstpcomponent
sofxbeposit
ive.Then∑j=1xjaj=b,where
A=(
a1,
.
.,
ap,
.
..
,an)
.Twocasesmayar
ise:

Case1:{a1,..,
ap}i
sli
near
lyindependent.Thenp≤m.Ifp=m, giv
enfeasiblesolut
ioni
sanon-degenerateb.f.
s.
withx1,
.
..
,xp asbasicvar
iables.I
fp<m,t hentheset{a1,.
.,
ap}canbeext endedt oabasi
s{a1,.
.,
ap,
ap+1,
.
..
,am}
forthecolumnspaceofAandt hen∑m=1x
j a=b,wi
jj
thxp+1=.
..
=xm=0;i
nt hiscaseweobt ai
nadegener ateb.f.
s.
wi
th(
m-p)basi
cvar
iabl
esatzer
olev
el.

Case2:{a1, .
.,
ap}isli
near
lydependent.Thenther eexi stsrealnumber
sc1, ..
.,
cp,notal
lzer o,sucht hat
p p
cj
cj
∑j=1cjaj=0.Letcr≠0,
forsomer∈{1,
..
.,
p}.Thenar=-
∑j=1,j≠r aj.Subst
it
uti
ngin∑m
=1x
j aj=b,weget∑p
j=1,
j
≠r(-
x xr )a=b.
cr j j cr j
15|
Page
 cj
Thuswehav easol ut
iontoAx=b,x≥0wi thnotmor ethanp-1nonzer ocomponents.I
fcj=0,xj-x =0.I f
rcr
cj xj x
cj≠0,
toensurethatt
hev al
uesxj-
xr ( j=1,
.
.,
r-
1,r
+1,
..
,p)arenon-negati
ve,wechoosersuchthat ≥ r, i
fcr>0
cr cj cr
xj x
; ≤ r,i
cj cr
fcr<0.Thusarisdel
etedf rom {a1,
..
,
ap}
,i
{ }
xj
fmax :<
j c j
x
cj 0 ≤ r≤mi
{ }
xj
n :>
cr j cj j
c 0 andwegetasol ution

with(p-1)non-negati
vecomponent sandremai
ningcomponentszer
o.Repeatingthepr
ocess,wegeta
feasi
blesolut
ionwi t
hassociatedsetofcol
umnvector
sofAlinear
lyi
ndependenti
nwhichal
lcomponent
s
arenon-negat
ive,whicht
hereforei
sab.f.
s.

Example3. 4Start
ingfr
om t hefeasibl
esol ut
ionx1=2,
x2=3,
x3=1oftheLPP:Maxi
mizez=x1+2x2+4x3 subj
ect
to2x1+x2+4x3=11,
3x1+x2+5x3=14;x1,
x2,
x3≥0,f
indaB.F.S.oftheLPP.
t t t t
Wer ewri
tetheconst r
aintsasx1a1+x2a2+x3a3=b,
wher ea1=(23),a2=(11) ,a3=(
45) ,b=(1114) .Si
nce(2,
3,
1)
i
saf easi
blesolutiont ot hesyst
em, 2a1+3a2+1a3=b( 1)
.Givenf
easi bl
esol uti
onisnotbasi csincerankA=2
andnumberofv ariablesatpositi
veleveli
nthegivensoluti
onis3.Si nce{a1,a2,
a3}isli
nearlydependent(
any
setof3v ector
si 2
nE i slinear
lydependent),t
hereexistscal
arsc1,
c2,c3,notallzero,sucht () ()
2
hatc1 +c2 +
3
1
1
c c c
()()
4 0
c3 = .Hence2c1+c2+4c3=0,3c1+c2+5c3=0.Usi
5 0
ng crossmul ti
plicat
ionf ormula, 1 = 2 = 3 =k
5-4 12- 10 2-3
(say)
.Takingk=1, c1=1,c2=2,

c3=-
1. Thus 1a1+ 2a2-
1a3=0 (
2). ar wi
l
l be el
i
minat
ed i
f
x3
c3 {}
=mi
n
1
-
1 { }
xj
=max :<
j cj
cj 0 ≤

xr
≤mi
cr j cj{ } {}
xj
n :>
cj 0=mi
23 x
n , = 2;henceei
12 c2
t
hera2ora3maybeel i
minat
edkeepingf
easi
bil
i
tyofnewsolut
ion

1 3 1 5 1 5
i
ntact.Fr
om ( 2)
,a2= (a3-
a1).Put
ti
ngin(1)
,b=2a1+ (a3-
a1).+1a3= a1+0a2+ a3;hence(, 0,)isa
2 2 2 2 2 2
feasi
blesoluti
on oftheLPP.Al so,t
hecol
umn vect
orsattached t
o posi
ti
vevari
abl
e,{
a1,
a3}
,isli
nearl
y
1 5
i
ndependent;hence(,0,)i sab.f
.s.
2 2

Wecanobt ainanotherb.
f.
s.byeli
mi nat
inga3.From (2)
,a3=a1+2a2.Put
ti
ngin(1)
,b=2a1+3a2+1a3=2a1+
3a2 +(a1+2a2)=3a1+5a2+0a3;hence( 3,
5,0)isaf easi
blesoluti
onoftheLPP.Also,t
hecolumnv ect
ors
att
achedt opositi
vevari
abl
e,
{a1,
a2}
,isli
nearl
yindependent;hence(3,
5,
0)i
sab.f
.s.

Cor
respondencebet
weenb.
f.
s.andext
remepoi
nts

Wenowpr ovet
hatab.f
.srepresent
sandi
srepr
esent
edbyanextr
emepointoft
hefeasi
bleregi
on.Si
ncea
LPPwithafi
nit
eopti
malvaluehasanopti
malsol
uti
onatanext
remepoi
nt,anopti
malb.
f.s.canal
waysbe
foundf
orsuchanLPP.

Theorem 3.
1Ifxbeanextr
emepointoft
hefeasi
bler
egionoft
heLPP:Maxctxsubj
ectt
oAx=b,
x≥0,
whereAisanmxnmat ri
xwithr
ankm, t
henxisab.f.
s.t
oAx=b,x≥0andconver
sely
.

Pr
oofLetxbeanext r
emepoi ntoft
hefeasi
bler
egionoftheLPP.ByTheorem 2.
6,t
her
earesomenl
i
near
ly
i
ndependentdef
ini
nghyper
planesbindi
ngatx.All
thehyperpl
anescont
ainedi
nAx=b,say
,

a11x
1+…+a1,
mxm+a1,
m+1xm+1+…+a1,
nxn=b1,
…,am,
1x1+…+am,
mxm+am,
m+1xm+1+…+am,
nxn=bm

pr
ov i
desm l i
nearl
yindependentbindinghy perpl
anesatx;consequent l
y,theremustbesomep=n- m
additi
onalbindingdefi
ninghyper
planesfrom thenonnegat i
vit
yconstrai
ntst
hattogetherwit
hthoseofAx=b
provide n linear
lyindependentdef i
ning hy per
planes binding atx.Wi thoutloss ofgener al
i
ty,l
et
xm+1=0,
…,xn=0bet hepnumberofaddi t
ionaldefini
nghy per
planes.Thusthehyperpl
anesbindi
ngatxare:

16|
Page
a11x
1+…+a1,
mxm+a1,
m+1xm+1+…+a1,
nxn=b1

a21x
1+…+a2,
mxm+a2,
m+1xm+1+…+a2,
nxn=b2

……………………………………………………………

am1x1+…+am,
mxm+am,
m+1xm+1+…+am,
nxn=bm

0x1+…+0xm+ 1 xm+1+0xm+2+.
.+0.
xn=0

………………………………

0x1+….
+0.
xm+ 0xm+1+0xm+2+…+1.
xn=0

Denotingt hesepaddi t
ionalhyper
planesbyxN=0,wet hereforeconcludeAx=b,xN=0hasxast heunique
solut
ion.Nowl etNrepresentt
hecol umnsofAcorrespondingt othev ar
iablesxN:N=(am+1am+2…an)andl
et
Bbet her emai ni
ngcolumnsofAwi thxB ast
heassociatedv ar
iables:B=(a1.
..
am).SincecolumnsofA ar e
ei
thercolumnsofBorcol umnsassoci at
edwithvari
ablesinxN,Ax=bcanbewr it
tenasBxB+NxN=boras
BxB=b.Sincer ankof

( )
a11 … a1,m a1,m+1 a1,m+2 … a1,n
a21 … a2,m a2,m+1 a2,m+2 … a2,n
… … … … … … …
am,1 … am,m am,m+1 am,m+2 … am,n
0 … 0 1 0 … 0
… … … … 1 … 0
0 … 0 0 0 … 1
i
sn,allthencolumnsoft hemat ri
xar el
.i
..Hencet
hefir
stm col
umnsoft hematr
ixarel.
i.
.Thusthe

( )
a11 … a1,m
umnsofB= … … … i eandxB=B-1b.Si t
col salsol.i
.HenceBi si
nver
ti
bl ncex=(
xB,
xN) i
saf easi
ble
am,1 … am,m
sol
uti
on,
xB≥0.Hencexisab. f
.s.ofAx=b,
x≥0.

Conversel
y,supposex=( xB 0)beab. f.
s.,Bi sanmxm submat ri
xofAwhosecol umnsar eassoci atedwith
t t
vari
ablesinxB sot hatBxB=bhol ds.I fpossi bl
e,letx1=(u1 v
1)a ndx2=(
u2 v2)betwof easi
blesol uti
ons,x1≠
x2,
x=cx1+(1-c)x2,0<c<1wher eu1, u2 arem x1andv 1,
v 2are( n-m)x1v ector
s.ThusxB=cu1+( 1-c)u2,0=c
v1+(
1-c)v2.Sincex1,x2 aref easi blesol utions,u1,u2,v
1,v2≥0.Si nce0<c<1and0=cv 1+(1-
c)v 2,sov 1=v2=0.
t t
Thusx1=(u1 0) andx2=( u2 0) .SinceAx1=b=Ax2,Bu1=Bu2=b.Si nceBxB=bandsi nceexpressionofbasa
l
inearcombi nationofbasi sv ector smustbeuni que,u1=u2=xB.Hencex=x1=x2,cont r
adict
ion.Thusxi san
extr
emepoi ntoft hesetoff easiblesol utions.

NoteEv eryb.f.s.isanex t
remepoi ntandconv ersely
.Howev er,theremayexi stmor ethanonebasi s
corr
espondi ng to af i
xed b.f
.sorext r
emepoi nt.A caseoft histypemayoccuri nthepr esenceof
degeneracy,as expl ained abovet hrough Exampl e 3.3.Refer r
ing tot he previous proof,this case
corr
espondst ot hatofanextremepoi ntatwhichsomer >p=n-m defini
nghy perpl
anesf r
om x≥0ar ebinding.
Henceforanyassoci at
edbasi s,r
-poft hexB var
iablesarealsozer o.Consequently,thenumberofposi ti
ve
var
iabl
esi sq=m- (r-
p)<m.Inthiscase,eachpossiblechoi ceofabasi sBt hatincl
udest hecolumnsoft hese
qpositi
vev ari
ablesrepresentsthi
spoi nt
.

NoteSincetheextr
emepoi ntsmaybeenumer atedbyal gebr
aical
l
yenumer ati
ngal
lb.f.
s.whosenumbers
n
areboundedby ,
m()onemayt hi
nkofl
i
sti
ngallb.f.
s.sandsimplypicki
ngtheonewit
ht heopt
imalobj
ect
ive
n
val
ue.Thisisunsati
sfact
oryforanumberofr easons.First
,numberofb. f
.s.i
sboundedby ,whi
m
chis ()
l
arge,evenformoderatevaluesofm andn.Second,t hi
ssimpleapproachdoesnottellusift
heprobl
em

17|
Page
hasanunboundedsoluti
ont hatmayoccurift
hefeasi
bler
egionisunbounded.Last
,ift
hef
easi
bleregi
onis
emptythatwi
llbedetectedonlyafteral
lpossi
blewaysofextract
ingm columnsoutofncolumnsf ai
lto
produceab.
f.
s.,ont
hegr oundsthatBdoesnothaveaninver
seorel sesomecomponentofB-1bbecoming
negati
ve.

Thesimplexmethodi sacl ev
erprocedurethatmov esfrom anextr
emepoi nttoanotherextr
emepoint,
wit
hani mprovedv al
ueofobj ect
ivefuncti
on.Italsodiscover
swhet hert
hef easi
bleregi
onisemptyor
whethert
heopt i
malsol ut
ionisunbounded.I npracti
ce,themethodenumer atesasmal lport
ionofthe
ext
remepointsofthefeasi
bleregi
on.

Keyt
otheSi
mpl
exMet
hod

Consi
dertheLPP:Maxctx,subj
ecttoAx=b,x≥0,wher
eAi sanmxnmat r
ixwi t
hrankm≤n.Supposet
hatwe

() ( )
B-1b
( ) ( )
-
1 -
1
xB B b B b
haveab.f
.s. = whoseobject
iveval
uez0isgi
venbyz0=ct =(cBt,
cNt) =cBtB-1b.
0 0 0 0

Nowl ()
xB
etx= beanar
xN
bit
rar
yfeasi
blesolut
ion,wherexB (xN)standsforsetofv al
uesi
nxoft hevari
ables

t
reat
edasbasi c(nonbasi
crespect
ivel
y)var
iablesi
nt heb.f.s.NotethatxN neednotbe0.Feasibil
i
tyofx
-
1
r
equi
resthatxB≥0andxN≥0andt hatb=Ax=BxB+NxN.Mult
iplyinglastequat
ionbyB andr ear
rangi
ngterms,
weget

xB=B-1b-
B-1NxN=B-1b-∑j∈RB-1ajxj=B-1b-
∑j∈Ryx
jj

wher
eRi
sthecur
rentsetoft
hei
ndi
cesoft
henonbasi
cvar
i esandy
abl j
=B-1ajf
orj∈R.
Ifzbet
hev
alueof
t
heobj
ect
ivef
unct
ioncor
respondi
ngt
othef
easi
blesol
uti
onx=(
xB,
xN)
,then

z=ctx=cBtxB+cNtxN=cBt(
B-1b-
∑j∈Ryx)
jj
+∑j∈Rcjxj=z0-∑j∈R(-
zjc)
xj
j

ezj=cBtB-1ajf
wher oreachnonbasi
cvar
iabl
e.

Usi
ngt
hef
oregoi
ngt
ransf
ormat
ions,
theLPPcanbewr
it
tenas:

Maxz=z0-∑j∈R(-
zjc)
xj,
subj o∑j∈Ry
ectt x+xB=B-1b(
jj
*),
xB≥0,
xj≥0,
forj∈R.
j

Withoutlossofgener al
it
y,letusassumet hatnorowinequat
ion(*
)hasal lzeroesi
nthecol umnsoft he
nonbasicv ari
abl
exj,j∈R, for
,other
wise,t
hebasicvari
abl
einsuchar ow i
sknowni nvalue,andthisrow
canbedel etedfrom t
hepr obl
em.Nowobser vethatt
hevari
abl
exBsimplyplaytherol
eofslackvari
ablesin
equati
on( *).Hencewecanequi v al
ent
lywrit
etheLPPinthenonbasicvar
iablespace,t
hati s,i
ntermsof
nonbasicvar i
abl
esasf ol
lows:

Maxz=z0-∑j∈R(-
zjc)
xj,
subj o∑j∈Ry
ectt x≤B-1b(
jj
**)
,xj≥0,
forj∈R
j

Notethatthenumberofnonbasicv ariabl
esisp=n-
m andsowehav erepresent edtheLPPinsomep-
di
mensionalspace.Wenotethatifzj-
cj≥0,f
orj∈R,wehavez≤z0 wher
ezi st heobj ect
ivef
unct
ionv
alue

( )
-
1
B b x3=
cor
respondi
ngtoanyfeasi
blesol
utionxandz0istheval
uef
ort
hecur r
entb.f.
s. .
x=
0
v3
4

Geomet
ri
cMot
ivat
ionoft
hesi
mpl
exmet
hod 0
x5=
I
nthenonbasi
cvar
iabl
espacer
epr
esent
ati
on,
thef
easi
bler
egi
onofLPP v
2

v
i
sdef
inedi
nter
msofni
nter
sect
inghal
fspaces,
m associ
atedwi
tht
he
x1=0

i
nequal
i
tyconst
rai
ntsi
n(*
*)andp=n-
m associ
atedwi
tht
henonnegat
ivi
ty x6=0
-
c
const
rai
nts.Associ
atedwi
theachoft
hesehal
fspaces,
ther
eisacer
tai
n
18|
Page v
1
x2=0 v
5
def
ini
ngv
ari
abl
ethatt
akesonav
aluezer
oont
hecor
respondi
ngdef
ini
ng

hyperpl
aneandt akesonnonnegat i
vevaluesov
erthecorr
espondi
nghalfspace.Fortheinequali
ti
es(**)
,
t
hesedef i
ningvari
ablesar
et hebasicvar
iabl
esxB,andf
orthenon-negat
ivi
tyconstr
aint
s,t hesedefi
ning
v
ariabl
esarethevariabl
esxj,
j∈Rthemselv
es.

Adjacentf igureill
ustrat
esasi tuationi np=2di mensi ons,wher en=6, m=4, R={1,2}andxB={ x3,x4,x5,
x6}.The
defi
ningv ari
ablesassoci at edwi tht hen=6def ini
nghy perplanesar eshownagai nstt hecor respondi ng
hyperplanesi nthef igure.Theext remepoi ntsoft hef easibler egionarel abelledasv 1,
…,v5. Not et hatt he
feasi
bler egionisdef i
nedbyt her estr
icti
onsxj≥0, j=1,
…, nint hisspace.Thecur r
entb. f.s.correspondst ot he
vert
exv 1,thatis,theor i
gin.Not i
ceal sot hatev eryotherext remepoi nti
sal sodef inedbyt hei nt ersectionof
somep=2l i
nearlyindependenthy perplanes, withthecor respondi ngpdef iningv ariablesbei ngt henonbasi c
vari
ables.Forexampl e,fort hev ertexv 2def i
nedbyx1=0andx3=0, thenonbasi cv ariablesar ex1andx3and
thebasi cv ari
ablesar ex2,x4,x5,
x6.Ont heot herhand,not et hatt hedegener atev ertexv 3h ast hr eedef ining
hyperplanespassi ngt hroughi t,anyt woofwhi chuni quelydef inet hi
sext remepoi ntast heiri ntersect i
on.
Hencet her earethreebasesr epresent i
ngv 3,namel y,
{a1,
a2,a4,a6}
,{a1,
a2,
a5,
a6},{a1,
a2,
a3,a6}.

Now consi dert heor i

ginv 1a ndexami net hep=2def i
ninghy perpl anesassoci atedwi tht hecor respondi ng
nonbasi cv ariablesx1andx2.Hol dingp- 1oft hesehy perplanesbi ndingandmov i
ngi nadi recti
onf easibleto
ther emai ni nghy per
planet akesusal ongaone- dimensi onalr aywi thv ertexatv 1. Ther ear epsuchr ays.
Hence,atv 1,sincep- 1=1,holdi
ngx2=0andi ncreasingx1t akesusal ongx1axi s,wi tht heobj ecti
v efunct i
on
∂z
changi ngatar ateof =- (
z1-c1).Simi l
arly ,hol
dingx1=0andi ncr easingx2t akesusal ongx2axi s,withthe
∂x1
∂z
object i
v efunct ionchangi ngatar ateof =-(z2-c2).Asseenabov e,ifzj-cj≥0cor respondi ngt oal lnon-
∂x2
basicv ari
abl es, t
henobj ectivefunctionat tainsi tsmaxi mum v alueatv 1.Supposez2- c2<0andwehol dx1=0
andi ncr easex2 al ongx2 axi s.Wewoul dl iket omov easf araspossi bleal ongt hisedge;howev er,our
mot i
oni sbl ockedbyt hehy perplanex3=0,si ncex3 hasbeendr i
v ent ozer oandmov i
nganyf urtherint his
dir
ect ionwoul ddr ivex3 negat ive(Ofcour se,ifnosuchbl ocki nghy perplaneexi sted,t hent heopt imal
solutionv aluewoul dhav ebeenunbounded) .Fur t
her mor e,si nce( p-
1)l inear lyi ndependenthy perplanes
wer ebi ndingal lalongt hemov ementandwewer ebl ockedbyanew hy perpl ane,wenow hav epl i
near ly
i
ndependenthy perpl
anesbi nding,andsowear eatanot herext remepoi ntoft hef easi bl
er egion.Atv 2, t
he
nonbasi cv ariablesar ex1 andx3 andt her emai ningv ari
ablesar ebasi c.Wehav ecompl etedonest epor
i
terationofsi mpl exmet hod.I nt hi
sst ep,v ar i
ablex2 i scal l
edent er
ingv ariablesi ncei tent eredt hesetof
basicv ari
abl esandt hev ari
ablex3 iscal l
edt hebl ockingv ari
abl eordepar tingv ariabl esi ncei tblockedt he
mot i
onorl eftthesetofbasi cv ari
ablesatv 1.

Repeat ingthispr ocessatv 2,wewoul dofcour senotliket oenterx3i ntot hebasi ssincei twillonlyt akeus
∂z
backal ongt her everseoft heprevi
ousdi rectionofmot i
on.Assumi ng =- (
z1-
c1)>0,hol dingx3=0and
∂x1
i
ncr easingx1 takesusal ongani mpr ovingedge.Pr oceedi nginthi sdirection,mor et hanonehy perplane
blocksourmot ion.Supposewechoosear bi t
rar
ilyoneoft hese,namel yx4=0ast hebl ockinghy per plane.
Hencex4i sthel eavingv ari
ableandf orcur rentbasisrepresent i
ngv 3,x3andx4ar enonbasi cvariables.Now,
i
fwehol dx4 =0andmov ealongadi recti
oni nwhi chx3 increases,wear ebl ockedbyt hehy per planex5=0
beforewebegi nt omov e.Thatis,x5leav est hebasisgi v
ingx4andx5asnewnon- basicv ar i
ables,whi l
ewe
arest il
latthesamev er
texv 3.Suchast epinwhi chonechangesf rom onebasi stoanadj acentbasi s,both
represent i
ngt hesameext remepoi ntsol ution,iscall
edadegener ateiteration.Wemaybest ucki nan
i
nf i
niteloopatanext remepoi nt
,perfor mingasequenceofdegener ateiterati
onst hatt akesusi nacl osed
l
oopofbases,al lrepresent i
ngthesameext remepoi nt,wi t
ht hev alueofobj ecti
vef unct i
onr emai ninga
const ant.Suchaphenomenoni scall
edcy cli
ng.

Withx4 andx5 asnon-basi

cvari
abl
esatv3,hol
dingx5=0andincr
easingx4takesusalonganimprovi
ng,
f
easibl
eedgedi rect
ionandther
efor
eresul
tsinanondegenerat
eiter
ation.Thebl
ocki
ngv ar
iabl
ethatget
s
19|
Page
driv
ent ozeroisx6andthenewnonbasi cv ar
iabl
esar ex5andx6.Observethatcorr
espondi
ngtothisbasis,
noneoft hepr ays,def i
nedbyhol di
ngsome( p-1)nonbasicvari
ablesequaltozeroandi ncr
easingthe
remainingnonbasicv ar
iabl
e,l
eadt oani mpr ovementi ntheobject
ivefuncti
onv al
ue;hencev 4isthe
optimalextr
emepoi nt
.Apat hf
oll
owedbyt hesimplexalgori
thm al
ongedgesoft hepol
yhedr
on(f r
om v1to
v2tov3tov4 i
n t
he aboveexample)i
s cal
leda si
mp lexpath.

Al
gebr
aoft
heSi
mpl
exMet
hod

Consi
dert Maxz=z0-∑j∈R(-
heLPP: zj
c)
xj,
subj o∑j∈Ry
ectt x+xB=B-1b(
jj
*),
xB≥0,
xj≥0,
forj∈R.
j

Ifzj-
cj≥0f oral
lj henxB=B-1bandxj=0,j
∈R,t ∈Ri sopti
malforLPP.Otherwisewhileholdi
ng( p-
1)nonbasic
var
iablefixedatzero,t
hesi
mpl exmethodconsidersdecr
easi
ngtheremainingv ar
iabl
e,sayxk.Nat
ural
lywe
wouldl i
kezk-cktobenegat
ive,andperhapst hemostnegati
veofallthezj-
cj,j
∈R.Nowf ixi
ngxj=0forj∈R-
{
k},fr
om ( *)weobtain

z=z0-
(zk-
ck)
xkand

( )( )( ) ()
̅ ̅
b1 b1
xB y1k
̅ ̅
1

xB b2 y b2
.
2
.
2k
. ̅ -1
= - xk, eb=B b= . (
wher ***
)
xB ̅ yrk
̅
. br
r
. br
xB . y .
mk
m
̅ ̅
bm bm

I
fzk-
ck<0andy
ik≤0f
oral
li=1,
…,m,
thenxB i
ncr
easesasxki
ncr
easesf
oral
li,
l
eadi
ngt
ounboundedsol
uti
on.
i

I
fyk>
i 0,t
henxB wi
l
ldecr
easeasxk i
ncr
eases.I
nor
dert
osat
isf
ynon-
negat
ivi
tyr
est
ri
cti
on,xk i
sincr
eased
i

unt
ilt
hef
ir
stpoi
ntatwhi
chabasi
cvar
iabl
exBdr
opst
ozer
o.Exami
ning(
***
),i
tiscl
eart
hatt
hef
ir
stbasi
c
r

̅
b
variabledroppi
ngt ozer ocorrespondstotheminimum of if orposi
ti
vey k.
i Thuswecani ncr
easexkuntilxk
yi
k
̅ ̅
br b ̅ ̅
= =Mi mum { i:
ni y >0,1≤i ≤m}.Intheabsenceofdegener acy,b=B-1b>0,br>0f orallrandhence
y r
k
yi
k
ik

̅
b
xk= r>0.Fr om z=z0-(
zk-ck)
xk andthefactthatzk-
ck<0,i
tthenf ol
l
owst hatz>z0 andt heobject
ivefuncti
on
yr
k
̅ ̅
br b
strictl
yimproves.Asxki ncreasesf r
om l
evel0to , anewbasi csol
uti
oni sobtained.Substi
tut
ingxk= r in
yr
k
yr
k
(***)givesthefol
lowingsol ution:

̅ y̅
xB=bi- ikbr,
i=1,
…,m
i yrk

̅
b
xk= r ,
all
otherxj’
sar
ezer
o.
y
rk

Fr
om abov
e,xB=0andhenceatmostm v
ari
abl
esar
eposi
ti
ve.Thecor
respondi
ngcol
umnsi
nA ar
e
r

20|
Page
aB,
aB,
…,aB ,,
akaB ,
…,aB .Not
ethatt
hesecol
umnsar
eli
near
lyi
ndependentsi
ncey
rk
≠0.Thust
hesol
uti
on
1 2 r
-1 r
+1 m

gi
venabov
eisab.
f.
s.

Tosummar i
ze,t
heprocessoftransf
ormingfr
om onebasistoanadjacentbasisiscar
riedoutbyincr
easing
thev
alueofanonbasicvari
ablexkwithnegat
ivezk-
ckandadjust
ingcurrentbasicvar
iables;i
ntheprocess
oneofthecurr
entbasi
cv ar
iabl
exBdropstozero.Thevar
iabl
exkenterst
hebasi sandxBleavesthebasi
s.In
r r

theabsenceofdegener
acy,object
ivef
unct
ionv
aluestr
ict
lyincr
easesandhenceb.
f.
s.sgenerat
edare
dist
inct
.Si
ncether
eisonlyafinit
enumberofb.
f.
s.,t
heprocedurewoul
dter
minatei
nafini
tenumberof
steps.

Exampl
e3.
4Maxi
mizex1-
x2subj
ectt
ox1+2x2≤4,
x2≤1;
x1,
x2≥0.

Wei
ntr
oducet
hesl
ackv
ari
abl
esx3andx4t
oputt
hepr
obl
em i
nthest
andar
dfor
m.Theconst
rai
ntmat
ri
xis
A

=(
a1a2a3a4)= (1
0 1 0 1)
2 1 0
.Consi
dert
heb.
f.
s.cor
respondi
ngt
othebasi
sB=(
a a)
.Thusx,
x ar
ebasi
c 1 2 1 2

vari
abl
esandx3,
x4arenon-
basi
cvar
iabl
es.Toobt
aint
her
epr
esent
ati
onoft
heLPPi
nthenonbasi
cvar
iabl
e
space,
wecomput e:

B-1= ( )( )
1 2-1 1 -
=
0 1 0 1
2 t -1
,
cBB =(
1-1)
1 -
2
0 1
=(
1-3)
.Hence ( )
2 ̅
y
3=B-1a3= ( )()()
21 1
1 -
= ,
0 10 0
y
4=B-1a4=
1 -
20 -
= ,b=B-1b=
0 11 1 ( )()( )
( )()()
1 -
24 2
= .
0 11 1

Al
socor
respondi
ngv al
ueofobj
ect
ivef
unct
ionz=cB b=(
1- (4
3)
1)
=1,z-
0c=cB a-
B
-
1
c=(
1- (
3)
0)
1
-0=1,z- 3 3 B
-
1
3 3 4

c=cB a-
4 B
-
1
c=( 1- (0
3)
1)
4 4 -
0=-
3

Hencet
her
equi
redpr
obl
em i
nthenonbasi
cvar
iabl
espacei
s:

Maxi
mize1-
x3+3x4

1 ( x) 1
x1
Subj
ectt
o (1
0) (
x+ )
-2
3x+ =()
2
4,x,
x,
2
x,
x≥0,
thati
s,
x-2x+x=2,
1 2 3 4 x+x=1,
x,
3x,
x,x≥0.
4 1 4 2 1 2 3 4

-
1
Sincez4- c4<0,obj
ecti
vefunctionval
ueimprovesbyincreasi
ngx4.Themodi f
iedsolut
ioni
sgivenbyxB=B b-

B-1a4x4 ,thati
x1
x2 1 ( ) ()( )
2 - 2
s, = - x4.Themaxi
1
mum valueofx4 is1( anylar
gerv al
ueofx4 wi
l
lf or
cex2 t
obe

negat i
ve) .Thusthenewb.f.s.is(
x1x2x3x4)
=(4,
0,
0,1)andimprovedv al
ueofz=4.

I
nter
pret
ati
onofzk-
ck

Thecrit
eri
onzk-
ck<0foranonbasi
cvari
abl
exktoent
ert
hebasi
sist
obeusedextensiv
ely.I
twi
llbehel
pful
̅
torev
iewthedefi
nit
ionofzk andmakeafewcommentsont
heentr
ycr
it
eri
onzk- lz=cBb –(
ck<0.Recal zk-
ck)
xk,
where

zk=cBB-1ak=cBy
k=∑m
i
cykandcBi
=1 B i
sthecostoft
hei
thbasi
cvar
iabl
e.Not
ethati
fxki
srai
sedf
rom zer
olev
el,
i i

whi
l
etheot
hernonbasi
cvar
iabl
esar
ekeptatzer
olev
el,
thent
hebasi
cvar
iabl
esxB,
…,xB mustbemodi
fi
ed
1 m

accor
dingt
oequat
ion(
***
).I
not
herwor
ds,i
fxk i
sincr
easedbyoneuni
t,t
henxB,
…,xB wi
l
lbedecr
eased
1 m

r
espect
ivel
ybyy
1k,
…,y
mk(
ify
ik<0,
thenxBwi
l
lbei
ncr
eased)
.Thesav
ing(
anegat
ivesav
ingmeansmor
ecost
)
i

t
hatresul
tsfrom themodif
icat
ionofthebasi
cvari
ables,asar esultofincr
easingxk byoneuni t,is
t
her
efore∑m
i
c y
=1 B i
k
,whi
chi
szk.Howevert
hecostofi
ncreasi
ngxk i
tsel
f byoneu ni
tisck.Hencez -
c
k k i
st he
i

sav
ingmi
nust
hecostofi
ncr
easi
ngx
kbyoneuni
t.Nat
ural
l
y,i
fzk-
cki
snegat
ive,i
twi
l
lbet
oouradv
ant
age
21|Page
toincr
easexk.Foreachunitincreaseofxk,t
heobjecti
vefunct
ionv aluewillbeincreasedbyanamountck- zk
andhenceitwi l
lbetoouradv antaget oi
ncreasexksolongasatl eastoneoft hecur rentbasicvari
abl
ei s
dri
ventozero.Ont heotherhand,ifzk-
cki
spositi
ve,f
oreachunitincreaseofxk, t
heobj ectiv
efunctionval
ue
wil
lbedecreasedbyanamountzk- ckandhenceitwil
lbeprohi
bited.Finall
y ,
ifzk-
ck=0,thenincreasi
ngxkwi l
l
l
eadt oadif
ferentb.f
.s.wit
hthesamev al
ueofz.

Ter
minat
ion:
Opt
imal
i
tyandUnboundedness

Thesimplexmethodmov esfrom onebasistoanadj

acentbasis,byi
ntr
oduci
ngonecolumnvectori
nthe
basi
sand r emovi
ng anothercol
umn v ectorf
rom t
hebasi s.Thecr i
ter
iaforent
eri
ng and l
eavi
ng i
s
summarisedas:

 Ent
eri
ng:
xkmayent
eri
fzk-
ck<0

̅ ̅
br b
 Leav
ing:
xB mayl
eav
eif =Mi
nimum{ i:y
ik>0,
1≤i≤m}
r yr
k
yik

Ter
minat
ionwi
thanopt
imal
sol
uti
on

Considert hef
ollowingLPP:Maxctxsubj ectt
oAx=b,x≥0.Supposet hatx*i
sab.f .
s.withbasisB;t hatis,

( )
-1
* Bb * * * -
1
x= .Letz denotet heobject
ivefuncti
onval
uecorrespondi
ngt ox,t hati
s,z=cBB b.Supposef urther
0
thatzj-
cj≥0forallnon-basicvari
abl
esandhencet her
ear enonon- basicvari
abl
est hatareeli
gibletoent er
*
thebasis.Letxbeanyf easi
blesolut
ionwithobj
ecti
vefuncti
onv aluez.Then,fr
om ( *)
,z-z=∑j∈R(-
zjc)xj,zj-
j
* *
cj≥0,
xj≥0f
orj∈R,
itf
oll
owst
hatz≥z;
thusxi
sanopt
imal
b.f
.s.t
otheLPP.

Unboundedness

Supposet hatwehav eab. f.s.oft hesy stem Ax=b,x≥0wi thobj ecti

vef unct i
onv al
uez0.Lett herebea
nonbasicv ar
iablexk withzk- ck<0andy k≤0.From z0-z=(zk-ck)xk,weseet hatwecangooni ncreasi ngxk
i
ndefini
tel
y,whi chwillmakezt ot endt o∞.Ther easont hatwewer enotabl et odot hisbeforewast hat
i
ncreaseofxk wasbl ockedbydecr ement ,
andultimatelyv ani shing,ofv alueofabasi cv ari
able.Buti f
bl
ockingisnotencount ered,therei snor easonwhyweshoul dst opincreasingxk.Thi sispreciselythecase
-
1
wheny k≤0h ol
ds .Recallt
h atxB= B b- yx
kk.Soifyk≤0,thenx kc anb eincr
eas edi ndefini
tel
yw i
thout anyoft he
-
1
basicvari
ablesbecomi ngnegat i
ve.Ther eforethesoluti
onx,wher exB=B b-y kxk,xkisarbi
tr
ar i
lylargeand
othernonbasicv ari
ableszer o,isf easibl
eandcor r
espondingv alueoftheobj ectiv
ef uncti
onz=z0- (zk-ck)
xk
whichapproaches∞ asxkappr oaches∞.

Uni
queandAl
ter
nat
iveOpt
imal
Sol
uti
ons

Wecangetmor
einf
ormat
ionf
rom z*-
z=∑j∈R(-
zj
xj.I
c) fzj-
c≥0f
oral
lnonbasi
ccomponent
s,t
hent
hecur
rent
j j
opt
imalsol
uti
onisuni
que.Toshow this,l
etxbeanyf easi
blesol uti
ont hatisdist
inctfom x*,
r anopti
mal
sol
uti
on.Thenther
eisatleastonenonbasiccomponentxjofxt hatisposi t
ive,becauseifallnonbasi
c
* *
hatz<z andhencex*
*
component
sarezer
o,xwouldnotbedisti
nctfr
om x.Fr
om z- z=∑j∈R(-
zjc)xj,i
tfol
lowst
j
i
suni
queopt
imal
sol
uti
on.

Nowconsi
dert
hecasewher
ezj-
c≥0 f
oral
lnonbasi
ccomponent
sandzk-
ck=0f
oratl
eastonenonbasi
c
j
vari
ablexk.Asxkisincreased,weget( i
nt heabsenceofdegener acy)point
sthatar
edisti
nctfom x*but
r
havethesameobj ectivefunct
ionv al
ue.Ifxkisincr
easedunti
litisblockedbyabasicvari
abl
e,wegetan
alt
ernati
veopti
mal b.f
.s.Theprocessofincreasi
ngxkfrom l
evelzerounti
liti
sbl
ockedgenerat
esani nf
ini
t e
numberofal t
ernat
iveoptimalsoluti
ons(notb.f.
s.!:
seeequati
on(***)
). Opt
imal
b.f
.s.

Exampl
e3.
5Consi
dert
heLPP:
Max2x1+4x2,
subj
ectt
ox1+2x2+x3=4,
-x1+x2+x4=1;
x1,
x2,
x3,
x4≥0.
Al
tOpt

22|
Page
Anopt
imal
b.f
.s.t
ogi
venLPPi
s(4,
0,
0,
5)wi
thobj
ect
ivef
unct
ionv
alue8.
Non-
basi
cal
t.
opt
.f
easi
.Sol
u.

c2=cBB-1a2-
z2- c2=( ()
2
20) -
1
4=0, c3=cBB-1a3-
z3- c3=(
1
20) -
0 ()
0=2.Si ncezj-
c≥0 f
j
orallnonbasi
ccomponents,
curr
entsol uti
onisopt
imalb.
f.
s.Weseet hatbyincr
easi
ngx2,afamilyofopt
imalsolut
ionsi
sobt
ained.If

wei ncreasex2,keepx3=0andmodi f
x1
x4 () 4 2
5 3 ()()
yx1 andx4,weget =B-1b–B-1a2x2= - x2.Foranyx2≤ ,t
5
3
he

sol
ut i
on

t 5
(x1x2x3x4) =(4-2x2x205-3x2)i
sanopti
malsolut
ionwi thobject
ivefunct
ionval
ue8.I
npar t
icularifx2= ,
3
wegetanal t
ernati
veb.f
.s.opti
malsolut
ion
25
33( t
)
00 ,wher ex4 dropsfrom t
hebasis.Not
(3/5,
et
8/5
hatthe
object
ivefuncti
oncontour
sar eparal
l
elt
othehyperplanex1+x2=4corr
espondingt
othef
irstc
)onst r
aint
.
Exampl
e3.
6Maxi
mizex1+3x2 subj
ectt
o2x1+3x2≤6,
-x1+x2≤1;
x1,
x2≥0
(
0,1)

I
ntr
oduci
ngsl
ackv
ari
abl
esx3andx4,
LPPbecomes
Maxi
mizex1+3x2+0x3+0x
4subj
ectt
o2x1+3x2+x3=6,
-
x1+x2+x4=1,
x1,
x2,
x3,
x4≥0
c
I
ter
ati
on1 (
0,0) (
3,0)

LetB=( a3,
a4)
= ( )
1 0
0 1
andN=(a1,
a2)=
- ( )
2 3
1 1
.Sol
vingt hesy stem BxB=bl eadstoxB=x 3=
1
6andxB=x4=1.The
2

nonbasi
cv ari
abl
esarex1 andx2 andt hev al
ueofobj ectivef unct
-
1
ionz=cBxB =( 0,
6
0) =0.I
1 ()
nordert o
determi
newhichvar
iabl
etoenterthebasis,
wecal culatezj-
cj=cBB aj-
cj:z1-
c1=-
1,z2-
c2=-3.
Thusa2ist
oent er

{ }
̅ ̅
( )()()( )
1 03 3 y b b
B-1a2=
12
basis. To f i
nd departi
ng v ector, we cal culat
e y 2= = = , Mi nimum 1,2 =
0 11 1 y y y
12 22
22
̅
Mi
ni
61
31{} b
mum , =1= 2;
y
22
t
husxB=x4l
eav
est
2
hebasi
s.

I
ter
ati
on2

The v ari
able x2 enter s the basi s and x4 l eav es the basi s; thus B = ( a3,
a2)
= ( )
1 3
0 1
and N=

(a1,
a4)( )
=
-
2 0
1 1
.Solv
ingthesy st em BxB=bl eadst oxB=x3=3andxB=x2=1.Thenonbasi
1 2
cvari
abl esarex1 and

x4andt hevalueofobject i
vef
-
1
unct i
onz=cBxB =( ()
0,
3
3) =3.I
1
nordertodet erminewhichvari
ablet oenterthe
basis,wecalculatezj-
cj=cBB aj-cj:z1-
c1=-4,z4-
c4=3.Thusa1 istoent erbasis.Tof
inddepar t
ingv ector
,we

{}
̅ ̅
( )( )( )( )
32 5 y
{}
1 - b1 61 b
calcul
atey 1=
-1
B a1=
0 1-
= = ,Mi
1 - 1 y
11
ni
mum
y
(si
ncey21
<0)= Mi ni
mum , =1= 1;t
31 y
hus xB=x3
1
21 11 11
l
eav esthebasis.Notethatzv al uehasi ncreased.
I
ter
ati
on3

The v ar
iabl
e x1 ent
ersthe basis and x3 l
eaves the basi
s;thus B = ( a1,
a2)
=
2 3
-1 1
and N= ( )
(a3,
a4)
=( )
1 0
0 1
.
Sol
vingt
hesy
stem BxB=bleadst
3 8
oxB=x1= andxB=x2= .Thenonbasi
5 1 5 2
cv ar
iabl
esarex1 and

23|
Page
 ()
3
5 27
x4andt heval
ueofobj ecti
vef unct ionz=cBxB=( 1,
3) = .I nor dert
odeterminewhichvari
abletoentert
he
8 5
5
4 3
basi
s, wecalculat cj=cBB-1aj-
ezj- cj:z3-c3= ,z4-
c4= .Si
nceallzj-
cjcorr
espondingt
oallnonbasicvar
iabl
esare
5 5
non-negati
ve,curr
entb.f.
s.(x1,x2,x3,(
x4)
38
= ,,
55 )
0,0isoptimal
andopt i
malval
3 8 27
ueofz= +3x = .
5 5 5
Pi
vot
ing
Ateachit
erat
ionthef
oll
owingl
inearsy
stemsofequat ionsneedbesolv
ed:BxB=b,Byk=ak.
Alloft
hesetasks
canbesimult
aneousl
yaccompli
shedineachi t
erat
ionbyasi mplepi
vot
ingoperat
ion.Ifxkenter
sthebasis
andxBl
eavesthebasi
s,t
henpiv
otingonyrkcanbestatedasfoll
ows:
r

 Di
vi
der
owr(
cal
l
edpi
vot
alr
ow)byt
hepi
voty
rk.

 Fori
=1,
…,m andi
≠r,
updat
ethei
thr
owbyaddi
ngi
tto–y
ikt
imest
henewr
thr
ow
Letusexami netheimpl i
cati
onoft hepivotingoper at
ion:Supposet hatt heori
ginalcolumnsoft henew
̂ ̂
basicandnonbasi cvari
ablesareB and N r especti
vely.Throughasequenceofel ementaryrowoperati
ons
(characteri
zedbypi voti
ngattheintermediateiter
ati
ons),theor i
ginaltabl
eaur educestothecurrenttabl
eau
̂ ̂-1
withB r epl
acedbyI .Now thisisequivalentt opremultipl
icat
ionbyB .Thuspi v
oti
ngr esul
tsinanew
-1
̂ ̂
tabl
eaut hatgi v
est henew B N undert henonbasi cv ari
ables,anupdat edsetofzj-
cj’
sforthenewnon-
basicv ari
ablesandt hev al
uesofthenewbasi cvari
ablesandobj ectiv
ef unction.
I
dent
if
yingB-1f
rom t
heSi
mpl
exTabl
eau
Assumet hattheor i
ginaltabl
eauhasani dent
itymat r
ix.Thepr ocessofreducingthebasismatri
xBoft he
ori
ginalt
ableautoani dentit
ymat r
ixint hecur
renttableau,isequival
entt
opr emult
iplyi
ngrows1throughm
oftheorigi
naltableaubyB-1 t oproducet hecurrenttableau.Thisalsoconvertst
hei dent
it
ymatrixofthe
ori
ginalt
ableautoB-1.Ther eforeB-1 canbeextractedfrom thecur r
enttabl
auast hesubmatr
ixinrows1
thr
oughm undert heor i
ginali
denti
tycol umns.
Comput
ati
onal
Procedur
e

 Step1:Convertalli
nequali
tyconst
rai
ntsint
oequali
tyusingslack/surpl
usv ar
iables;assi
gnzeroas
costcomponenti ntheobjecti
vefunct
ioncorr
espondingtosl ack/surpl
usvariables.Ensur
enon-
negativ
ityofrequirementcoeff
ici
entsbiintheprocess.Assumei tispossibl
et oobt ai
nident
it
y
mat r
ixasaninit
ialbasi
smat r
ix.

 St
1
ep2: Cal
culateiniti
alB.F. ()
x
S. B wher
0
exB=B-1b=b,val
ueoftheobject
ivef
uncti
onz=cBxB=cBb,y
j=B-
aj=ajandzj-
cj=cBy-
jcj=cBaj-cjf
oral
lj
.For
mt hei ni
ti
alsi
mplextabl
eshowingthesedat
a.

 Step3:Ifal lzj-
cj≥0, cur
rentB.F.
S.isoptimalandisgi venbyt hecolumnheadedbyb.Ot her wi setwo
casespossi ble:( a)ifther
eexistsjforwhi chthenetev al
uati
onzj-
cj<0andf orthatj
,yi≤0f
j oralli,
thenLPPhasanunboundedsol uti
on, (
b)ifsuchajdoesnotexi st,t
henwecanobt ai
naB. F.S.wit
h
bettervalueofobj ecti
vefuncti
on:ifzk-
ck=min{
zj-
cj:zj-
cj<0}
,thenakwillent
erinthenextbasi sandi f

mi

t
i y
hepi
{ }
xB
n :

v
i
k
i

ot
y
i

.
k
xB
>0= ,t
r

yrk
henthevectorinthert hpositi
onofcur r
entbasisleavesthebasis.y ki
r scall
ed

yj
/ r
 St
ep4:
Const
ructt
henextsi
mpl
ext
abl
eusi
ngt
het
ransf
ormat
ionr
ule:y
rj= ( j
=0,
1,
..
.,
n)andf
ori
≠r,
yr
k

24|
Page
 /
yr
j
yj=
i y-
i
jyk .
i RepeatStep3andSt
ep4unl
essopt
imal
i
tyi
sreachedorani
ndi
cat
ionofunbounded
yr
k
solut
ionisatt
ained.

 Ifatanyit
erat
ionofsimpl
exmet hod,
somezk-
ck=0corr
espondi
ngt
oanon-
basi
svect
orakandal
lzj-
cj≥0foral
lj,t
henalt
ernat
iveopt
imalsol
uti
onexi
sts.
Exampl
e3.
7Sol
vet
heLPP:
Maxi
mizez=60x
1+50x2subj
ectt
ox1+2x2≤40,
3x1+2x2≤60;
x1,
x2≥0.
Intr
oduci
ngslackv
ari
abl
esx3,
x4 andassi
gni
ngcor
respondi
ngcost
saszer
o,gi
venLPPi
swr
it
teni
nthe
standar
dfor
m:
Maxi
mizez=60x1+50x2+0.
x3+0.
x4subj
ectt
ox1+2x2+1.
x3+0.
x4=40,
3x1+2x2+0.
x3+1.
x4=60;
x1,
x2,
x3,
x4≥0.

B=(
a3a4)
=I2,
-
1 40
xB=B b=b= ,
60 ()
z=cBxB=(
40
00) =0.Put
60
ti
ngt()
hesedat
a,wegetf
ir
stsi
mpl
ext
abl
e:

Tabl
e1
cB B cj

xB=b
60

y
1
50

y
2
0

y
3
0

y
4
mi
i
n { }
xB
yi
1
:y
i

i1
>0
RowOper
ati
ons

0 a3 40 1 2 1 0 40 y
1 R1/=R1- 11R2
y21

0 a4 60 3*
=y21 2 0 1 60 R
3 R2/= 2
y
21

z=0 cj=cBty
zj- j-
cj -
60 -
50 0 0

Sincether
ear enegat
ivezj-
cjwi t
hcorrespondingajhavingatleastonepositi
vecomponent,curr
entB. F.
S.

canbei
vectori
mpr
ncur
ov
r
ed.Si
ncez1-
entbasi
s,
c1=-
namel
60=mi
ya4,
n{zj-
depart
cj:
sf
zj-
r
cj<0}
om t
,
a1entersi
henextbasi
nnextbasi
s.y
s;
sincemi
i
x
y
B
n :
i
1
y
i{ }
1
i
x
y
B
>0= ,
21
second 2

21=3isthepivotel
ement
.
Tabl
e2
cB B cj

xB=b
60

y
1
50

y
2
0

y
3 y
4
0
mi
n
i { }
xB
yi
2
:y
i
i

2
>0
RowOper
ati
ons

0 a3 20 0 4* 1 -
1 20 R
3 3 4/
3
=15 R1/= 1
y
12

60 a1 20 1 2 0 1 20 y
3 3 2/
3
=30 R2/=R2- 22
R1
y12

z=1200 cj=cBty
zj- j-
cj 0 -
10 0 20

Sincet
her
earenegat
ivezj-
cjwit
hcor
respondingajhavi
ngatleastoneposit
ivecomponent,curr
entB.F.S.

canbeimprov
ed.Si
ncez2-c2=-
10=mi
n{zj-
cj:
zj-
cj<0}
,a2ent
ersinnextbasi
s;si
ncemi
x
n :
B

i y i
i
2
x
{ }
B
y2>0= ,
y12
i
f
ir
st 1

25|
Page
 4
vect
orincurr
entbasi
s,namelya3,
depar
tsf
rom t
henextbasi
s.y
12= ist
hepi
votel
ement
.Not
ethatv
alue
3
ofobject
ivef
unct
ionhasincr
easedfr
om 0to1200.
Tabl
e3
cB B cj 60 50 0 0

xB=b y
1 y
2 y
3 y
4

50 a2 15 0 1 3 -
1
4 4

60 a1 10 1 0 -
1 1
2 2

z=1200 cj=cBty
zj- j-
cj 0 -
10 15/
2 35/
2

Si
ncezj-
cj≥0foral
lji
nTabl
e3,anopti
malB.F.
S.x1=10,
x2=15,
x3=x4=0i
sobt
ained andmaxi
mum v
alueof
obj
ect
ivefuncti
oni
s50x15+60x10=1350.

Chapt
er4:
Star
ti
ngSol
uti
onandConv
ergence
Wehav edi
scussedi nChapter3thesimplexmet hodundertheassumpt i
onthatani
nit
ial
b.f.
s.i
sathand.In
manycases,suchasol uti
onisnotr eadil
yav ail
able andsomewor kmaybeneededt ogetthesimplex
methodstart
ed.Her ewedescr ibetwopr ocedur es,thetwo-phasemet hodandthebigM met hod,both
i
nvolv
ingart
ifi
cialvari
ablestoobtai
nani niti
alb. f
.s.t
oasl i
ghtl
ymodifiedsetofconstr
aint
s.Thesimplex
methodisusedt oeli
minatetheart
if
icial
variablesandt osol
vetheori
ginalLPP.
TheI
nit
ial
B.F.
S.
EasyCase
Supposet hatt
heconstr
aint
sar
eoft hef
orm Ax≤b,
x≥0whereAisanmxnmat ri
xofrankm andbi sanmx1
nonnegativevector
.Byaddingslackvect
orxs,theconstr
aint
sar eputinthest
andar dform Ax+xs=b,
x≥0,xs≥0.Notethatthenewmx(m+n)constrai
ntmatri
x(A,
I)hasrankm andab.f
.s.tothissyst
em isat
hand:letxBbetakenasxsandxbetakenasnonbasisv
ector
.Henceatthi
sstar
ti
ngb.f.
s.xs=bandx=0,and
thesimplexmethodcanbeappli
ed.
Somebadcases
I
nmanyoccasi ons,fi
ndingast ar
ti
ngb.f.
s.isnotasst r
aight
for
wardast hecaseconsideredabov e.To
i
l
lust
rat
e,supposet heconstrai
ntsareofthef or
m Ax≤b,x≥0butbi snotnonnegat
ive.I
nt hi
scase,after
i
ntr
oduci
ngtheslackv ar
iabl
exs,wecannotletx=0,becausexs=bvi
olatest
henonnegati
vit
yrest
rict
ions.

Anothersi
tuati
onoccurswhent heconst
rai
ntsareofthefor
m Ax≥b,x≥0,wher
ebisnotnonposi
ti
ve.Aft
er
subt
ract
ingtheslackvari
ablexs,wegetAx-xs=b,x≥0,
xs≥0.Again,t
hereisnoobvi
ouswayofpi cki
nga
basi
sBf r
om thematri
x(A,-
I)wi
thB-1b≥0.
Example4.1Consi derthef ol
l
owi ngconst rai
ntsx1+x2-
2x3≤-3,-2x1+x2+3x3≤7,x1,
x2,
x3≥0.Aft
ermul t
ipl
yi
ng
fi
rstconstr
aintby- 1( t
oensur eb≥0)andi nt
roduci
ngsl ackv ari
ablesx4 andx5 leadst hesystem:-x1-
x2+2x3-
x4=3,-
2x1+x2+3x3+x5=7,x1,x2,
x3,,
x4x5≥0.Notethatthisconstraintmatri
xcontainsnoident
it
ymat ri
x.

Ar
ti
fi
cial
Var
iabl
es
26|
Page
Aftermanipul
ati
ngt heconst
rai
ntsandintr
oduci ngt
hesl ackvar
iables,supposethatconstrai
ntsar
eputin
theform Ax=b,x≥0wher eAisanmxnmat r
ixandb≥0i sanmx1v ect
or.Furt
hersupposet hatAhasno
i
dent i
tysubmatr
ix.I nthi
scaseweshal lr
esor ttoarti
fi
cialv
ari
ablest ogetast ar
ti
ngb. f
.s.andthenuse
simplexmethoditselft
ogetri
doftheseart
ifi
cialvar
iabl
es.
Toi l
l
ustrate,supposet hatwechanget herestr
icti
onsbyi ntroduci
ngar ti
fi
cialvectorxa l
eadingtothe
system Ax+xa=b,x≥0,xa≥0.Notet hatbyconst r
uctionwef orcedani denti
tymat ri
xcorrespondingtothe
arti
fi
cialvector.Thisgivesanimmedi at
eb.f.
s.tot henewsy stem,namel yxa=b,x=0.Eventhoughwenow
haveast arti
ngb. f
.s.andthesimpl exmethodcanbeappl ied,wehav ei neff
ectchangedt heori
ginalLPP.I
n
ordertogetbackt otoouror i
ginalprobl
em,wemustf or
cethesear ti
fici
alvar
iablestozero,becauseAx=b
i
ffAx+xa=bwi t
hxa=0.
TheTwo-
PhaseMet
hod
I
ntwophasemet
hod,
wemaxi
mize-
∑xa (
wher
exa ar
eal
lar
ti
fi
cialv
ari
abl
es)subj
ectt
oAx+xa=b,
x≥0,
xa≥0.I
f
i i

theor i
ginalLPPhasaf easi
blesol ution,t hentheopt imalvalueoft hisproblem iszer o,whereallthe
art
ifi
cialvar
iablesdropt ozero, l
eavet hebasi sandl egiti
mat evariables(vari
ablesoftheLPPot herthanthe
art
ifi
cialones)ent ert hebasisi nst
ead( thecaset hatsomear tifi
cialvari
ableispr esenti ntheopt i
mal
solut
ion wi thzer ov alueist obeconsi deredsepar ately)
.Thuswegetab. f
.s.oft heor i
ginalsyst
em
Ax=b,x≥0andsi mplexmet hodcanbest artedwithor iginalobj
ect i
vef uncti
onandt hisb. f
.s.asthestarti
ng
b.f
.s.If,ontheot herhand, af
tersolvingt hisalt
eredLPP, anarti
ficialvari
ableispresentint heoptimalb.f
.s.
withpositi
vev alue,t
hent heorigi
nalLPPhasnof easiblesoluti
on.
Phase1
SolvetheLPP:Max( -1)xasubjecttoAx+xa=b,x≥0,
xa≥0.I
fatopti
mal i
ty,xa≠0,thentheor
iginalLPPhasno
feasi
blesoluti
on;otherwise,l
etthebasicandnonbasi clegi
ti
matev ar
iablesbexB andxN.(Thecasewhere
somear t
if
icialvar
iabl
esr emaininthebasi
satzer olevelt
obediscussedsepar atel
y).
Phase2
Solvet
hef
oll
owi
ngLPPst
art
ingwi
thb.
fs.xB=B-1bandxN=0:MaxcBxB+cNxNsubj
. oxB+B-1NxN=B-1b,
ectt xB ,
xN≥0.
Exampl
e4.
1Sol
vet
heLPP:
Maxi
mize–x1+2x2subj
ectt
ox1+x2≥2,
-x1+x2≥1,
x2≤3;
x1,
x2≥0.
Aft
eri
ntr
oduci
ngsurpl
usvar
iabl
esx3,
x4,
slackv
ari
abl
ex5andar
ti
fi
cialv
ari
abl
esx6,
x7,
ther
efor
mul
atedLPP
i
nPhase1isasfol
lows:
Max–x6-
x7subj
ectt
ox1+x2-
x3+x6=2,
-x1+x2-
x4+x7=1,
x2+x5=3;
x1,
x2,
x3,
x4,
x5,
x6,
x7≥0.
Phase1
Tabl
e1

{ }
cB B cj 0 0 0 0 0 -
1 -
1 ̅ RowOper
ati
ons
b
b= y y y y y y y n i:
Mi y >0
1 2 3 4 5 6 7 y
i2
i2

xB

-
1 a6 2 1 1 -
1 0 0 1 0 2 y
1
=2 R1/=R1-12R2
y22

-
1 a7 1 -
1 1* 0 -
1 0 0 1 1 1
=1 R2/= R2
1 y
22

0 a5 3 0 1 0 0 1 0 0 3 y
=3 R3/=R3-32R2
1 y22

z=- zj-
cj 0 -
2 1 1 0 0 0

27|
Page
3

Sincether
ear enegat
ivezj-
cjwi t
hcorrespondi ngajhavingatl
eastoneposit
ivecomponent, cur
rentB. F.
S.

canbei
vectori
mpr
ncur
ov
r
ed.Si
ncez2-
entbasi
s,
c2=-
namel
2=mi
ya7,
n{zj

depar
-
cj:
t
zj-
sfr
cj<0}
om t
,
a2enter
sinnextbasi
henextbasi
s.y
s;si
ncemi
i y
xB
n :
i
2
{ }
y
i2
i
xB
>0= ,
y22
second
2

22=1ist
hepivotel
ement .
Tabl
e2

{ }
cB B cj 0 0 0 0 0 -
1 -
1 ̅ Row
b Oper
ati
ons
b y y y y y y y n i:
Mi y >0
1 2 3 4 5 6 7 y
i2
i2

-
1 a6 1 2* 0 0 1 0 1 -
1 1 1
R1/= R1
2 y
11

0 a2 1 -
1 1 0 -
1 0 0 1 y
R2/=R2-21R1
y11

0 a5 2 1 0 0 0 1 0 0 2 y
1 R3/=R3-31R1
y11

z=-
1 zj-
cj -
2 0 0 -
1 0 0 2

Sincether
ear enegat
ivezj-
cjwi t
hcorrespondi ngajhavingatl
eastoneposit
ivecomponent, cur
rentB.F.S.

canbei
vectori
mpr
ncur
ov
r
ed.Si
ncez1-
entbasi
s,
c1=-
namel
2=mi
ya6,
n{zj

depar
-
cj:
t
zj-
sfr
cj<0}
om t
,
a1enter
sinnextbasi
henextbasi
s.y
s;si
ncemi
i y
xB
n :
i
1
{ }
y
i1
i
xB
>0= ,
y11
f
ir
st 1

11=2ist
hepivotel
ement .
Tabl
e3
cB B b c1= c2=0 c3=0 c4=0 c5=0 c6=- c7=-
1
0 1

y
1 y
2 y
3 y
4 y
5 y
6 y
7

0 a1 1/
2 1 0 0 1/
2 0 1/
2 -
1/2

0 a2 3/
2 0 1 0 1/
2 0 1/
2 1/
2

0 a5 3/
2 0 0 0 -
1/2 1 -
1/2 1/
2

z=0 zj-
cj 0 0 0 0 0 1 1

Sinceal
lzj-
cjar
enon-negati
ve,cur
rentB.F.S.x1=1/
2,x2=3/2andx5=3/ 2isopti
malfort hereformul
atedLPP
ofPhase1.Noar ti
fi
cialv
ari
abl
earepr esentasbasi cv ari
ableintheopti
malsoluti
on.Next ,inPhase2,we
usesimpl
exmet hodtomaximize–x1+2x2st ar
tingf
rom t hefeasibl
esolut
ionx1=1/
2,x2=3/2,
x3=3/2.

Phase2
x2=3
Tabl
e4 x1+x2=2

cB xB b c1=- c2=2 c3=0 c4=0 c5=0

(
1/2,
3/2)
28|
Page
 1

y
1 y
2 y
3 y
4 y
5
(
0,1)
-
1 x1 1/
2 1 0 0 1/
2 0

2 x2 3/
2 0 1 0 1/
2 0

0 x5 3/
2 0 0 0 -
1/2 1
-
x1+x2=1 (
0,0)
z=0 zj-
cj 0 0 0 1/
2 0

Sinceal
lzj-
cj≥0corr
espondingt
othenon-
basi
cvar
iabl
es,opt
imalb.
f.
s.t
oor
igi
nalLPPi
s:x1=1/
2,x2=3/
2
andmaxz=- 1/2+2x3/2=5/
2.
NotePhase1mov edfr
om t
heinfeasi
blepoi
nt(0,
0)t
oinf
easibl
epoi
nt(0,
1)andfi
nal
l
ytothefeasi
blepoint
(1/
2,3/
2).Fr
om t
hisext
remepoint,Phase2provedt
hatthesameextr
emepointi
sopti
malfortheori
ginal
LPP.
Exampl
e4.
2Maxi
mize5x1+11x2subj
ectt
o2x1+x2≤4,
3x1+4x2≥24,
2x1-
3x2≥6;
x1,
x2≥0.
Aft
erint
roduci
ngsur
plusvari
abl
esx3,sl
ackv
ari
abl
esx4,x5 andar
ti
fi
cialv
ari
abl
esx6,
x7,t
her
efor
mul
ated
LPPinPhase1isasfol
lows:
Max–x6-
x7subj
ectt
o2x1+x2+x3=4,
3x1+4x2-
x4+x6=24,
2x1-
3x2-
x5+x7=6;
x1,
x2,
x3,
x4,
x5,
x6,
x7≥0.
Phase1
Tabl
e1

{ }
cB B cj 0 0 0 0 0 -
1 -
1 ̅ RowTr
ansf
orm
b
b y y y y y y y n i:
Mi y >0
1 2 3 4 5 6 7 y
i1
i1

0 a3 4 2* 1 1 0 0 0 0 4 1
=2 R1/= R1
2 y
11

-
1 a6 24 3 4 0 -
1 0 1 0 24 y
3
=8 R2/=R2-21R1
y11

-
1 a7 6 2 -
3 0 0 -
1 0 1 6 y
=3 R3/=R3-31R1
2 y11

z=- zj-
cj -
5 -
1 0 1 1 0 0
30

Sincether
ear enegat
ivezj-
cjwi t
hcorrespondi ngajhavingatl
eastoneposit
ivecomponent ,cur
rentB.F.S.

canbei
vectori
mpr
ncur
ov
r
ed.Si
ncez1-
entbasi
s,
c1=-
namel
5=mi
ya3,
n{zj

depar
-
cj:
t
zj-
sfr
cj<0}
om t
,
a1enter
sinnextbasi
henextbasi
s.y
s;si
ncemi
xB
n :
i y i
i
1
{ }
i
xB
y1>0= ,
y11
f
i
1
r
st

21=2ist
hepivotel
ement .
Tabl
e2
cB B cj 0 0 0 0 0 -
1 -
1

b y
1 y
2 y
3 y
4 y
5 y
6 y
7

0 a1 2 1 1/
2 1/
2 0 0 0 0

-
1 a6 18 0 5/
2 -
3/2 -
1 0 1 0

-1 a7 2 0 -
4 -
1 0 -
1 0 1
29|Page
z=- zj-
cj 0 3/
2 5/
2 1 1 0 0
20

zj-
cj≥0 f
oral
lj.
Thusopt
imal
it
yhasbeenreachedbutar
ti
fi
cialvar
iabl
esarepresentasbasi
cvar
iabl
esat
positi
vel
evel
int
heopt
imalb.
f.
s.Hencet
heori
ginal
LPPhasnof easibl
esol
uti
on.

Exampl
e4.
3 Mi
nimi
ze4x1+x2subj
ectt
ox1+2x2≤3,
4x1+3x2≥6,
3x1+x2=3;
x1,
x2≥0.
Aft
erint
roduci
ngsurpl
usv
ari
abl
esx4,
slackv
ari
abl
ex3andar
ti
fi
cialv
ari
abl
esx5,
x6,
ther
efor
mul
atedLPPi
n
Phase1isasfoll
ows:
Max–x5-
x6subj
ectt
ox1+x2+x3=3,
4x1+3x2-
x4+x5=6,
3x1+x2+x6 =3;
x1,
x2,
x3,
x4,
x5,
x6 ≥0.
Phase1
Tabl
e1

{ }
cB B cj 0 0 0 0 -
1 -
1 ̅ Row
b Transf
ormat
ion
b y y y y y y n i:
Mi y >0
1 2 3 4 5 6 y
i1
i1

0 a3 3 1 2 1 0 0 0 3 y
1 R1/=R1-11R3
y31

-
1 a5 6 4 3 0 -
1 1 0 6 y
4 R2/=R2-21R3
y31

-
1 a6 3 3* 1 0 0 0 1 3 1
R3/= R3
3 y
31

z=-
9 zj-
cj -
7 -
4 0 1 0 0

Tabl
e2

{ }
cB B cj 0 0 0 0 0 -
1 ̅ Row
b Transf
ormat
ion
b y y y y y y n i:
Mi y >0
1 2 3 4 5 6 y
i2
i2

0 a3 2 0 3*
5/ 1 0 0 -
1/3 6 1
R1/= R1
5 y
12

-
1 a5 2 0 5/
3 0 -
1 1 -
4/3 6 y
5 R2/=R2-22R1
y12

0 a1 1 1 1/
3 0 0 0 1/
3 3 y
R3/=R3-32R1
y12

z=-
2 zj-
cj -
2 -
5/3 0 1 0 7/
3

Tabl
e3
cB B b c1= c2=0 c3=0 c4=0 c5=0 c6=- c7=-
1
0 1

y
1 y
2 y
3 y
4 y
5 y
6 y
7

0 a2 6/
5 0 1 3/
5 0 0 -
1/5 -
1/2

30|
Page
-
1 a5 0 0 0 -
1 -
1 1 1/
2 -
1

0 a1 3/
5 1 0 -
1/5 0 1 -
1/2 2/
5

z= zj-
cj 0 0 1 1 0 1/
2 2
0

Si
nceallzj-
cjarenon-
negative,curr
entB.F.
S.x1=3/
5,x2=6/5andx5=0isopti
malfort herefor
mulatedLPPof
Phase1.Artif
ici
alvar
iabl
ex5i spresentasabasicvariabl
eintheopti
malsolut
ionatzer olevel
;hencesome
oftheconstr
aintsmayber edundant.WestartPhase2assumi ngcostofthearti
fi
cialvari
abl
ex5t obezer
o.
Phase2
Tabl
e4
cB B b c1=-
4 c2=- c3= c4=0 c5=0
1 0

y
1 y
2 y
3 y
4 y
5

-
1 a2 6/
5 0 1 3/
5 0 0

0 a5 0 0 0 -
1 -
1 1

-
4 a1 3/
5 1 0 - 0 1
1/
5

z=- zj-
cj 0 0 1/
5 0 0
18/
5

Allzj-cj≥0correspondi
ngtonon- basi
cvariabl
es;henceoptimalb.f
.s.isx1=3/5,x2=6/5andminz=18/5.Since
z4-c4=0cor respondingtonon-basicvar
iablex4intheoptimalt
able,alternat
iveopt i
malsolut
ionexi
sts.Note
thatint abl
e2ofPhase1, minimum rati
oi s6/5fori=1and2,wemayt ake5/ 3=y22 ast
hekeyelementand
thena5wi l
ll
eavethebasisandl astt
abl
eofPhase1wi l
lhavebasis(a3a2a1)andwi l
lhav
edegenerat
eBFS.

Char
ne’
sMet
hodofPenal
ti
esorBi
gM Met
hod
Thet wo-phasemet hodi sonewayt ogetr i
dofoft hear t
if
icialvari
ables.Howev er
,duri
ngphase1,t he
ori
ginalcostcoefficientsareessent
ial
lyi
gnor ed.Phase1oft wophasemet hodseeksanybasi cfeasi
ble
sol
ution,notnecessar i
lyagoodone.Anot herpossibi
l
ityforeli
mi nat
ingthear ti
fi
cialvar
iabl
esistoassign
costcoeffici
entscor respondi
ngtoarti
fi
cialvari
ablesintheoriginalobj
ectivefunctioninsuchawayast o
maket heirpresencei nt hebasi
sataposi t
ivelev
elveryunattracti
vefrom theobj ecti
vefunct
ionpointof
vi
ew.
Lett
heor
igi
nal
LPPbe:
(Pr em P)Maxctxsubj
obl ectt
oAx=b,
x≥0.
InCharne’smet hod, weconsiderthemodi fi
edpr oblem (
Pr obl
em P(M) ):Maxctx- M1txasubjecttoAx+xa=b,
t
x,
xa≥0,wher eM isav er
ylar
geposi t
ivenumber .Theterm M1xacanbei nterpret
edasapenal tytobepai d
byanysol uti
onwi t
hxa≠0.Alternately,t
hef oregoingstrat
egycanbei nterpret
edasonet hatmaxi mises-1xa
wit
hpr i
orityone,andamongal lalternat
iveopt imalsoluti
onsf orthi
sobj ective,maxi misesthesecondar y
t
obj
ectiv
ef uncti
oncx.Henceev ent hought hest ar
tingsoluti
onx=0,xa=bi sfeasibl
etot henewconst r
aint
s,
i
thasav eryunattr
activeobj
ectivefunctionv alue,namely–M1tb.Thust hesi mplexmet hodi t
selfwil
ltryto
gettheartif
ici
alvari
ablesoutofthebasi s,andt hencont i
nuet ofi
ndanopt i
mal solut
iont otheorigi
nalLPP.
Sinceprobl
em P(M)hasaf
easiblesol
uti
on(sayx=0,
xa=b)
,whi
lesol
vi
ngi
tbyt
hesi
mpl
exmethod,oneof
thefoll
owingcasesmayar
ise:(1)wearri
veatanopt i
malsol
uti
onofP(
M),(
2)P(
M)hasanunbounded
solut
ion.
31|
Page
CaseA:
Fini
teopt
imal
sol
uti
onofP(
M):
Undert
hiscase,wehavet
wopossibil
i
ties.Fi
rst
,theopti
malsol
uti
ont
oP(
M)hasal
lar
ti
fi
cialv
ari
abl
esat
val
uezer
o,andsecond,
notal
lar
ti
fi
cialvari
abl
esarezero.
SubcaseA1:
(x*,
0)i
sanopt
imal
sol
uti
onofP(
M)
Inthissubcase,x*isanopt imalsol
uti
ontoproblem P.Letxbeanyfeasibl
esoluti
ontoprobl
em Pandnote
*
that(x ,
0)isaf easibl
esol ut
iontoproblem P(M).Since(x,0)isanopt imalsolut
ionofP( M),thenct
x*+0≤ctx+0,
thati ctx*≤ctx.Si
s, ncex*isafeasi
blesol
utionofpr
oblem P,x*i
sindeedanoptimalsol
uti
onofP.
SubcaseA2:
(x*,
xa*)i
sanopt
imal
sol
uti M)andxa*≠0.
onofP(
IfM isav er
ylar
geposi
ti
venumber,thenweconcludethatPhasnofeasi
blesol
uti
on.Suppose,ont
he
contr
ary,t
hatxisaf
easi
blesol
uti
onofP,then(
x,0)woul
dbeafeasi
blesol
uti
onofP(M)andbyopt i
mal
it
y
* *
of(x,xa)
,wehave
ctx*-
M1txa*≥ctx+0=ctx.Si
nceM i
sverylarge,xa*≥0andxa*≠0,andsincexa*cor
respondst ooneofthefi
nit
e
numberofb. f.s.
,theprecedi
ngi
nequal
i
t yisimpossibl
e(why ?).ThusPcannothaveaf easi
blesol
uti
on.
CaseB:
P(M)hasanunboundedopt
imal
sol
uti
on
SubcaseB1:Supposezk-
ck=Mi
n{zj-
cj:
zj-
cj<0}
,yk≤0andal
lar
ti
fi
cial
var
iabl
esar
eatzer
olev
el
I
nthi
ssubcase,
itcanbeshownt
hatPhasanunboundedopt
imal
sol
uti
on.
SubcaseB2:
Supposezk-
ck=Mi
n{zj-
cj:
zj-
cj<0}
,yk≤0andNOTal
lar
ti
fi
cial
var
iabl
esar
eatzer
olev
el
I
nthi
ssubcase,i
tcanbeshownt
hatt
hatPhasnof
easi
blesol
uti
on,t
hati
s,t
heconst
rai
ntsoft
heor
igi
nal
pr
obl
em ar
einconsi
stent
.
Not
e:ForSubcaseB2t
ohol
d,wemustusenotanyzj-
cj<0butonl
ythemostnegat
ivezk-
ck.
Fol
l
owi
ngcasesmayar
isewhi
l
esol
vi
nganLPPusi
ngChar
ne’
sBi
gM Met
hod:

 I
fopti
mali
tycondi
ti
onissatisf
iedandnoart
if
ici
alvectori
spresentasbasi
cvar
iabl
e,or
igi
nalLPP
hasanopt
imalsol
uti
onthatcanbeobtai
nedf
rom theopti
malt
able

 I
fopti
malit
ycondit
ioni
ssati
sfi
edandsomearti
fici
alv
ari
ableispresentasbasi
cv ar
iabl
eatzer
o
l
evel
,opti
malsol
uti
ontoor
igi
nalLPPcanbeobt
ained;i
nthiscase,
oneormor econstr
aint
smaybe
r
edundant.

 I
foptimali
tycondi
ti
oni ssat
isf
iedandatl eastonear
ti
fi
cialv
ect
ori
spr
esentasbasi
cvar
iabl
eat
posi
ti
velevel
,or
igi
nalLPPhasnof easi
blesol
uti
on.
NoteOncecolumncorrespondi
ngtoanar t
if
ici
alv
ariabl
eleav
esthebasi
s,i
tisnev
erconsideredforent
ry
i
ntobasisinanysubsequenti t
erat
ion;hencecolumncor r
espondi
ngtothatarti
fi
cialvar
iabl
ei snot
showninsubsequentt
ables.
Exampl
e4.
4Sol
veusi
ngBi
gM Met
hod: Mi
nimi
ze4x1+3x2subj
ectt
ox1+2x2≥8,
3x¬1+2x2≥12;
x1,
x2≥0.
Intr
oducingsur
plusv ar
iabl
esx3,
x4 andt woar t
ifi
cialv
ari
abl
esx5,
x6 (wi
thcost–M,M ar bi
tr
ari
l
yl ar
ge
positi
ve)
, t he LPP i s al ter
ed as : Maxi mise - 4x1-
3x2+0.
x3+0.
x4-
Mx5-
Mx6 subj
ect t
o
x1+2x2-
x3+x5=8,
3x¬1+2x2-
x4+x6=12;x1,
x2,,,,
x3x4x5x6≥0.

Tabl
e1

{ }
cB B cj 0 0 0 0 0 -
1 ̅ Row
b Transf
ormat
ion
b y y y y y y n i:
Mi y >0
1 2 3 4 5 6 y
i2
i2

-
M a5 8 1 2* -
1 0 1 0 8 1
R1/= R1
2 y
12

32|
Page
-
M a6 12 3 2 0 -
1 0 1 12 y
2 R2/=R2- 22R1
y12

z=- zj-
cj -
4M -
4M M M -
M -
20M M+1

Col
umnheadedbyy5isdr
oppedi
nsubsequentt
abl
esi
ncev
ect
ora5cor
respondi
ngt
othear
ti
fi
cial
var
iabl
e
x5i
sleav
ingt
hebasi
s.
Tabl
e2

{ }
cB B b c1=0 c2=0 c3=0 c4 c6=- ̅ RowTr
ansf
ormat
ion
=0 1 b
n i:
Mi y >0
y
i2
i2

y
1 y
2 y
3 y
4 y
6

-
3 a2 4 1/
2 1 -
1/2 0 0 4/
(1/
2)=8 y
R1/=R1- 11R2
y21

-
M a6 4 2* 0 1 -
1 1 4 1
R2/= R2
2 y
21

z= zj-
cj 3 -
3 - M -
-
2M-
2 3 M+1
-
4M-
12 M+
2

Tabl
e3
cB B b c1=0 c2=0 c3=0 c4=0

y
1 y
2 y
3 y
4

-
3 a2 3 0 1 -
3/4 1/
4
(
0,4) (
2,3)

-
4 a1 2 1 0 1/
2 -
1/2

z=-
17 zj-
cj 0 0 1/
4 5/
4

(
0,0)
Sincez -
jcj≥0cor
respondingtoallnon-
basi
cv ar
iabl
es,
curr
entt
ablepr
ovidesopti
mal sol
uti
on.Si
ncecol
umn
correspondi ngt
oarti
fici
alvect
orsarenotpresenti
nthebasi
s,opt
imalb.f
.s.i
sx1=2,
x2=3andMinz=17.

Exampl
e4.
5Sol
vet
heLPP:
Maxz=2x1-
3x2subj
ectt
o2x1+x2≤8,
10x1+11x2≥100;
x1,
x2≥0usi
ngBi
gM Met
hod.

I
ntr
oduci
ngsl
ackv
ari
abl
ex3,
sur
plusv
ari
abl
ex4andar
ti
fi
cial
var
iabl
ex5,
theal
ter
edLPPi
s:

Maxz=2x1-
3x2+0.
x3+0.
x4-
Mx5subj
ectt
o2x1+x2+x3=8,
10x1+11x2-
x4+x5=100;
x1,
x2,,,
x3x4x5≥0

Tabl
e1

{ }
cB B cj 2 -
3 0 0 -
M ̅ RowTr
ansf
ormat
ion
b
b y y y y y n i:
Mi y >0
1 2 3 4 5 y
i2
i2

0 a3 8 2 1* 1 0 0 8/
1=8 1
R1/= R1
y
11

33|
Page
-
M a5 10 10 11 0 -
1 1 100/
11 y
R2/=R2- 22R2
0 y12

z= zj-
cj -
10M- -
11M- 0 M 0
2 3
-
100M

Tabl
e2
cB B b c1=2 c2=-
3 c3=0 c4=0 C5=-
M

y
1 y
2 y
3 y
4 y
5

-
3 a2 8 2 1 1 0 0

-
M a5 12 -
12 0 -
11 -
1 1

z=-
12M- zj-
cj 12M-
8 0 11M- M 0
24 3

Opti
mali
tycr
it
eri
ahavebeensati
sfi
edbutt
hev ect
ora5corr
espondi
ngt otheart
if
ici
alvari
ablex5i
spresent
i
nthebasi
sandvalueofx5i
ntheopti
malB.F.
S.isposi
ti
ve.Thusori
ginalLPPhasnof easi
blesol
uti
on.

Chapt Dual
er5: i
tyTheor
y

Wit
heachLPP, t
hereisassoci
atedasecondLPP:studyofsolut
ionofanyoneofthoseLPPt
hrowslighton
sol
uti
onoft heother.Anyoft hi
sLPPi scall
eddualoft heot herLPP.ThedualLPPpossessesmany
i
mportantpr
opert
iesrel
ati
vetotheor
igi
nalpr
imalLPP.Considerthefol
lowi
ngLPP:

Pati
entPr obl
em (
P):Thedai
lyrequi
rementofapati
enti
s20and30uni tsofvit
aminsv 1andv 2r
espect
ivel
y.
EachunitoffoodF1contai
ns3uni t
sofv1and4unitsofv2;
eachunitoffoodF2contai
ns2uni tsofv1and3
uni
tsofv 2.Fi
ndtheminimum costofbuyi
ngfoodssothatrequi
redamountofv i
taminsv 1andv2aremet,
gi
vencostperunitofF1andF2isRs.7andRs.5respect
ivel
y.

Abov
epr
obl
em canbef
ormul
atedas:

Food F1(
x1) F2(
x2) Requi
remen
t

v
1 3 2 20uni
ts

v
2 4 3 30uni
ts

Cost
/uni
t Rs.7 Rs.
5

Letx1uni
tsofF1andx2uni
tsofF2ber
equi
redt
ogett
hemi
nimum amountofv
itami
ns.LPPi
s:

(
P):
Mini
mize7x1+5x2subj
ectt
o3x1+2x2≥20,
4x1+3x2≥30;
x1,
x2≥0.

DealerProbl
em (D):Corr
espondingtoaboveprobl
em r
elatedtobuyeroff oodsist
hefol
lowi
ngprobl
em of
dealerwhosellsvi
taminsv1andv 2totheFoodmanufacturercompany.Hi sprobl
em i
stofi
xthecostper
unitofv1andv 2i
nsuchawayt hathegetsmaximum amounti nsell
ingthev i
tami
nsbutatt
hesamet i
me
theperunitpr
iceofF1andF2donotexceedRs.7andRs.5r espect
ivel
y.
34|
Page
Letw1andw2bet
heperuni
tsel
l
ingpr
iceofv
1,v
2respect
ivel
yofDeal
er.TheLPPi
s:

(
D):
Maxi
mize20w1+30w2subj
ectt
o3w1+4w2≤7,
2w1+3w2≤5;
w1,
w2≥0.

Usi
ngt
henot
ati
onA=
3 2
4 3
,b= ,
30
x1
( ) ()
20
x= ,
x2
w1
w= ,
w2 ( ) ( ) ()
7
c= ,
5
abov
etwoLPPscanbewr
it
tenas:

P:
Mini
mizectxsubj
ectt
oAx≥b,
x≥0

D:
Maxi
mizebtwsubj oAtw≤c,
ectt w≥0.

Not
efol
l
owi
ngf
ourchangest
hatweneedt
omaket
owr
it
eanyoneof(
P)or(
D),
giv
ent
heot
her
:

 I
nter
changeofMaxandMi
n

 I
nter
changeofbandc

 I
nter
changeof≥and≤

 I
nt changeofAandAt
er

Gener
all
y,t
heini
ti
alprobl
em outoft
het
woLPPsi
sknownast
hePr
imalPr
obl
em andt
heot
herLPPi
s
knownastheDualPr
oblem.

StandardForm ofPr
imal/
DualLPP:ALPPi si
nst
andar
dformif(
1)al
lvar
iabl
esar
enon-
negat
iveand(
2)al
l
constrai
ntsare‘≤’t
ypeinamaxi mizat
ionpr
obl
em and‘≥’t
ypeinamaxi mi
zat
ionpr
obl
em (wearenot
tal
kingofnon-negat
ivi
tyr
est
ri
cti
ons!
)

Theor
em 5.
1Thedual
oft
hedual
LPPi
sthepr
imal
LPP.

Pr
oof
:Consi
derpr
imal
LPPi
nthef
orm:
(P)Maxi
misectxsubj
ectt
oAx≤b,
x≥0.

Dual
of(
P)i
s:(
DP)Mi
ni sebtwsubj
mi oAtw≥c,
ectt w≥0

(
DP)i
sequi
val
entt
o:(
DP)Maxi
mize(
-bt)
wsubj
ectt
o(At)
- w≤(
-c)
,w≥0.

ze–ctssubj At)
t
Dualof(
DP)i
s:(
DDP)Mi
nimi ectt
o(- s≥-
b,s≥0whi
chi
sequi
val
entt
opr
obl
em (
P).Hence
t
heresul
t.

Mi
xedTy
peLPP

Whensomeconstr
aint
sofanLPPareequat
ionsand/
orsomeoft
hev
ari
abl
esar
eunr
est
ri
ctedi
nsi
gn,t
he
LPPi
scall
edamixedtypepr
obl
em.

Theor
em 5.
2Ift
hekt
hconst
rai
ntofapr
imalbeanequat
ion,t
hekt
hdualv
ari
abl
ewi
l
lbeunr
est
ri
ctedi
n
si
gn.

Pr
oofLett
hekt
hconst
rai
ntoft
hepr
imal
LPPbeanequat
ionwhi
cht
her
efor
ecanbewr
it
tenas:

Maxi
mizec1x1+.
..
+cnxnsubj
ectt
o

a11x
1+a12x2+.
..
+a1nxn≤b1

a21x
1+a22x2+.
..
+a2nxn≤b2

.
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..

ak1x
1+ak2x2+.
..
+aknxn≤bk

-
ak1x1-
ak2x2-
..
.-
aknxn≤-
bk

ak+1,
1x1+ak+1,
2x2+.
..
+ak+1,
nxn≤b
k+1

35|
Page
.
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
.

am1x1+am2x2+.
..
+amnxn≤bm,
x1,
.
..
,xn≥0.

Thedual
ofabov
eLPPcanbewr
it
tenas:

Mi
nimi
zeb1w1+.
.. wk/-
+bk( wk//)
+bk+1wk+1+.
..
+bmwm

subj
ectt
o:

a11w1+a21w2+.
.. wk/-
+ak1( wk//)
+ak+1,
1wk+1+.
..
+am1wm≥c1

a12w1+a22w2+.
.. wk/-
+ak2( wk//)
+ak+1,
2wk+1+.
..
+am2wm≥c2

.
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
.

a1nw1+a2nw2+.
.. wk/-
+akn( wk//)
+ak+1,
nwk+1+.
..
+amnwm≥cn,
w1,
.
..
,wm≥0.

Put
tngwk=wk/-
i wk//,
thedual
LPPi
s:

Mi
nimi
zeb1w1+.
..
+bkwk+bk+1wk+1+.
..
+bmwm

subj
ectt
o:

a11w1+a21w2+.
..
+ak1wk+ak+1,
1wk+1+.
..
+am1wm≥c1

a12w1+a22w2+.
..
+ak2wk+ak+1,
2wk+1+.
..
+am2wm≥c2

.
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
.

a1nw1+a2nw2+..
.+aknwk+ak+1,
nwk+1+.
..
+amnwm≥cn,w1,
.
..
,wk-1,
wk+1,
.
..
,wm≥0butwk,bei
ngdi
ff
erenceoft
wonon-
negativevariableisunrest r
ict
edi nsign.

Theor
em 5.
3Ifanyv
ari
abl
eoft
hepr
imalLPPbeunr
est
ri
ctedi
nsi
gn,
thecor
respondi
ngdualconst
rai
ntwi
l
l
beanequat
ion.

ProofLett
hekthpri
malv
ari
abl
exkbeunr
est
ri
ctedi
nsi essxk=xk/-
gn.Thenwecanexpr xk//, exk/,
wher xk//≥0.
TheprimalLPPi
s:

Maxi
mizec1x1+c2x2+.
.. xk/-
+ck( xk//)
+..
.+cnxn

Subj
ectt
o

a11x
1+a12x2+.
.. xk/-
+a1k( xk//)
+..
.+a1nxn≤b1

a21x
1+a22x2+.
.. xk/-
+a2k( xk//)
+..
.+a2nxn≤b2

.
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
.

am1x1+am2x2+.
.. xk/-
+amk( xk//)
+..
.+amnxn≤bm;x1,
.
..
, xk/,
xk-1, xk//,
xk+1,
.
..
,xn≥0

Thedual
LPPi
sgi
venby
:

Mi
nimi
zeb1w1+b2w2+.
..
+bmwm

Subj
ectt
o

a11w1+a21w2+.
..
+am1wm≥c1

a12w1+a22w2+.
..
+am2wm≥c2

.
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..

a1kw1+a2kw2+.
..
+amkwm≥ck

36|
Page
-
a1kw1-
a2kw2-
..
.-
amkwm≥-
ck

.
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..

a1nw1+a2nw2+.
..
+amnwm≥cn;
w1,
.
..
,wm≥0.

Thetwoconstr
aint
si ndi
cat
edabov
ear
eequi
val
entt
oa1kw1+a2kw2+.
..
+amkwm=ck;hencet
hekt
hdual
const
rai
nti
sanequati
on.

Example5.1Finddualoffol
lowingLPP:Maxi
miz
e2x1+3x2-
4x3 subj
ectt
o3x1+x2+x3≤2,
-
4x1+3x3≥4,x1-
5x2+x
3=5,
x1,
x2≥0andx3i
sunr
estr
ictedi
nsi
gn.

Using x3=x3/-
x3//,x3/,
x3//≥0,t
hepr
imalLPPcanbewr
it
teni
nst
andar
dfor
m as:Maxi
mie2x1+3x2-
4(x3/-
x3//)
subjectt
o

3x1+x
2+x3/-
( x3//)
≤2

4x1 -
3(x3/-
x3//)
≤-4

x1-
5x2+x3/-
( x3//)
≤5

-
x1+5x2-
(x3/-
x3//)
≤-5;
x1, x3/,
x2, x3//≥0.

Thedual
LPPcanbewr
it
tenas:
Mini
mi 4w2+5w3/-
ze2w1- 5w3//subj
ectt
o

w3/-
3w1+4w2+( w3//)
≥2

w1-
0.w2-
5(w3/-
w3//)
≥3
w1- w3/-
3w2+( w3//)
≥-4
-
w1+3w2-
(w3/-
w3//)
≥4;
w1, w3/,
w2, w3//≥0.
Put
tngw3=w3/-
i w3//andexpr
essi
ngt
hel
astt
woconst
rai
ntsasanequat
ion,
thedual
LPPi
s:

Mi
nimi
ze2w1-
4w2+5w3

Subj
ectt
o3w1+4w2+w3≥2

w1-
0.w2-
5w3≥3
/ /
/
w1-
3w2+w3=-
4;w1,
w2,
w3,
w3 ≥0.
NoteAst het
hir
dprimalvar
iabl
eisunrest
ri
ctedinsign,thi
rddualconstr
ainti
sanequat
ion.Si
ncet
hir
d
const
rai
ntoft
hepri
malisanequati
on,
thir
ddualvari
ableisunrest
ri
ctedi
nsign.
Theor
em 5.4(
WeakDuali
tyTheor
em)Ifx0 beanyf
easi
blesol
uti
ontothepr
imalLPP:Maxctxsubj ectt
o
Ax≤b,
x≥0andw0beanyf
easi
blesol
uti
onofthedual
LPP:Minbtwsubj oAtw≥c,
ectt w≥0,henctx0≤btw0.
t
oofAtw0≥ci Atw0)
t t
Pr mpli
es( ≥c i esw0tA≥cti
mpl
i esctx0≤(
mpl
i w0tA)
x0=w0t( =w0tb(
Ax0) sincex0≥0.Not
ethat
w0maybei nf
easi
ble)
.
Theor em 5.
5I fx0 beanyfeasi
blesolut
iontotheprimalLPP:Maxctxsubj
ecttoAx≤b, x≥0andw0 beany
t
feasiblesol
uti
onoft hedualLPP:Mi nbw subjecttoAtw≥c,w≥0suchthatctx0=btw0,t
henx0 andw0 ar
e
optimal f
easi
blesoluti
onofpri
mal anddualLPPrespect
ivel
y.
ProofLetwbeanyf easi
blesol
ut i
onofthedualLPP.Si
ncex0i
sa feasi
blesol
uti
ont
othepr
imal,byWeak
t t t
Duali
tyTheorem, bw0=cx0≤bw , pr
ovi
ngw0 isan opti
malfeasi
blesol
uti
onofpri
malLPPrespect
ivel
y.
Si
mi l
arl
y,ot
herhal
fcanbepr ov
ed.

Theorem 5.
6 ( FundamentalDual i
tyTheor em)Ifeit
herthePri
mal :Maxctxsubj
ectt
oAx≤b,x≥0or
t t
thedualMinbw subjectt
oAw≥c,w≥0hasaf i
nit
eopti
malsoluti
on,thentheotherLPPhasalsoaf i
nit
e
opti
malsolut
ionand,i
nthi
scase,
theopt
imal
valuesofobj
ecti
vefunct
ionsofbot
hpr obl
emsareequal
.

37|
Page
ProofLetusconv erttheconst raintsoftheprimalinthefor
m Ax+I mxs=b,
x,xs≥0,
wherexsisasetofm sl
ack
vari
ables and I m i s a uni tmat r
ix ofor derm . Letthe primalprobl em has an opt
imalfeasible
-
1
solut
ion(
xB,0)
,xB=B b( Bist hebasi satoptimalstage)andthecor r
espondi
ngopt imalval
ueoftheobj
ective
funct
ion be z=cBtxB=cBtB-1b.Si nce x=(xB,
0)is optimal,zj-
cj≥0,forallj=1,…,
n,
n+1, n+m.Thus cBty
…, j≥cj,
j
=1,…,n,
n+1,…,
n+m t hati cBtB-1aj≥cj,
s, j=1,
…,n,
n+1,…,
n+m.Hence
cBtB-1(
a1a2.
..
an,
e1,
.
..
,em)≥(
c1,
.
..
,cn,
0,
..
,
0)[
sincee1,
.
..
,em ar
esl
ackv
ect
orsandcostcoef
fi
cient
scor
respondi
ng
tosl ack
v
ect
orsar
ezer
o:Not
ethaty
jgi
vescoef
fi
cient
sofaB i
nexpr
essi
ngaj,
j
hencey
jvar
iesasbasi
sget
schanged
butajr
emai
nssame]
or
,cBtB-1(
A,I
m)≥ct,
( 0)HencecBtB-1A≥ctandcBtB-1I
. m≥0.
Put
tngw0t=cBtB-1,
i wef
indw0tA≥ct or
,Atw0≥c,
w0≥0.Hencew0i
saf
easi
blesol
uti
ont
othedual
LPP.Al
so

btw0=w0tb=(
cBtB-1)
b=cBtxB =ctxopt
imalv
alueofpr i
malobject
ivef
uncti
on.Bytheorem abov
e,w0 i
sopti
mal
solut
iontodual.Similarly
, i
tcanbeshownt hatifdualLPPhasafini
teopt
imalsoluti
on,t
hencor
respondi
ng
pri
mal LPPwillalsohav eaf init
eopti
malsolut
ion.
TheFundament
alTheor
em canal
ter
nat
ivel
ybest
atedas:
Theorem 5.7 Af easiblesol ut
ionx* t
oapr i
malmaximizat
ionLPPwithobject
ivefunct
ionctxwi
llbe
opti
malifandonlyifther eexistsfeasi
blesol
utonw* t
i ot hedualmi
nimizat
ionprobl
em withobj
ecti
ve
funct
ionbtwsucht
hatctx*=btw*.
Theorem 5.
8I fei
theroft
hepr
imalort
hedualLPPhasanunboundedsol
uti
on,t
hent
heot
herhasno
feasi
blesol
uti
on.
ProofLett heprimalLPPhav eanunboundedsol uti
on.I fpossibl
e,letthedualLPPhasf i
nit
eopt imal
soluti
on.SincedualofthedualLPPisprimalLPPandsi nceifprimalhasanopt i
malsoluti
onsodoest he
dual,theprimalprobl
em musthav eafini
teopti
malsol ut
ion,contradict
ion.Next
,letw0 bean ar bi
trary
feasibl
esoluti
on ofthedualandletxbeaf easi
blesoluti
ontot hepri
mal .ThenbyTheorem 5.
4,ctx≤btw0,
i
ndicatingpri
malLPPcannothav eanunboundedsolut
ion
NoteConver
sestatementi snotnecessar
il
ytrue.I
ftheprimalpr
oblem hasnofeasi
blesol
uti
on,t
henthe
dualwi
l
lhaveei
thernof easibl
esol
uti
onorwi l
lhaveunboundedsol
ution.Whi
chofthet
wocasesholdscan
notbef
ixedi
ngener al
.
Theor
em 5.
9Ifthepri
malpr obl
em hasfeasibl
esol
uti
onandthedualhasnof
easi
blesol
uti
on,t
hent
he
pri
malpr
obl
em hasunboundedopti
malsolut
ionandvi
cever
sa.
NoteThevaluesofzj-
cjcorr
espondi
ngtotheslackvectorsi
nthefi
nalsimpl
extableofthepri
malpr
obl
em,
ar
et hev
aluesofthecor r
espondi
ngdualopti
malv ar
iablesandvi
ceversa,pr
ovidedtheprobl
em i
ssol
ved
asamaximizati
onproblem.
ProofcBB-1ai=cBtB-1ei=cBty=zj-
j cj=zj≥0(si
ncepr i
cescor
respondi
ngt oslackv
ari
abl
esar
ezer
o) w0t=cBt
.Thus,
-
1 t -1 t -1 t -
1 t -
1
B =cB B I m=c B B( e1,
...,
em)=(cB B e1,.
..
,cB B em)
.Hencetheproof.
NoteWhenthenumberofconstr
aint
sar egreat
erthant
henumberofvari
ables,
dual
i
tytheor
yisver
yhelpful
i
nsolvi
ngthepr
oblem bysi
mplexmet hod.Thus,wemayassumew.l.
o.g.
,thatm≤n,
m numberofequat
ions
andn,numberofunknowns.
Exampl
e5.
2Fi
ndopt
imal
sol
uti
onoft
hedual
oft
heLPP:
Maxi
mize5x1+12x2+4x3,
subj
ectt
ox1+2x2+x
3≤5,
2x1-
x2+3x3=2;
x1,
x2,
x3≥0.

Usi
ngsl
ackv
ari
abl
ex4andar
ti
fi
cial
var
iabl
ex5,
theLPPi
sputas:

Maxi
mize5x1+12x2+4x3+0.
x4-
Mx5,
subj
ectt
ox1+2x2+x3+x4=5,
2x1-
x2+3x3+x5=2;
x1,
x2,
x3,,
x4x5≥0

Tabl
e1
38|
Page
 { }
cB B cj 5 12 4 0 -
M ̅
b
b y y y y
4 y
n i:
Mi y >0
1 2 3 5 y
i2
i2

0 a4 5 1 2 1 1 0 5/
1=5

-
M a5 2 2 -
1 3* 0 1 2/
3

z=-
2M zj-
cj -
2M-
5 M-
12 -
3M-
4 0 0

Tabl
e2

{ }
cB B cj 5 12 4 0 -
M ̅
b
b y y y y y n i:
Mi y >0
1 2 3 4 5 y
i2
i2

0 a4 13/
3 1/
3 3*
7/ 0 1 -
1/3 13/
7

4 a3 2/
3 2/
3 -
1/3 1 0 1/
3

z=21 zj-
cj -
7/3 -
40/
3 0 0 M+4/
3

Tabl
e3

{ }
cB B cj 5 12 4 0 c5=-
M ̅
b
b y y y y y n i:
Mi y >0
1 2 3 4 5 y
i1
i1

12 a2 13/
7 1/
7 1 0 3/
7 -
1/7 13

4 a3 9/
7 7*
5/ 0 1 1/
7 2/
7 9/
5

z=192/ zj-
cj -
3/7 0 1 40/
7 M-
4/7
7

Tabl
e4

{ }
cB B cj 5 12 4 0 c5=-
M ̅
b
b y y y y y n i:
Mi y >0
1 2 3 4 5 y
i1
i1

12 a2 8/
5 0 1 -
1/5 2/
5 -
1/5

5 a1 9/
5 1 0 7/
5 1/
5 2/
5

z= zj-
cj 0 0 3/
5 29/
5 M-
2/5

From t
heoptimaltabl
e, opt
imalb.f.
s.oft heprimalprobl
em isx1=9/5,x2=8/5,
x3=0andmaxz=142/ 5.Since
sl
ackvari
ableinthefi
rstconstrai
ntisx4andar t
if
ici
alvari
ableinsecondconst rai
nti
sx5,theopt
imalsol
ution
* *
ofdualLPP isgivenbyz4-c4 andz5- c5 (
putt
ingM=0) :w1=29/ 5,w2=- 2/
5,Minzw=5w1+2w2=142/5=Maxz.
*
Notethat(1)w2 isunrestr
ict
edinsi gnsi ncesecondconst r
aintofpr imalLPPwasanequal i
tyand(2)we
cannotdropy5columnher easa5goesoutofbasi ssincew2*valueisr eadoutfrom z5-
c5ent
ry.
39|
Page
Theorem 5.
10( Complementar ySlacknessTheorem)Letx0andw0befeasi
blesol
uti
onstothepri
mal:Max
z=ctx,subj
ecttoAx≤b,x≥0andi tsdualMi nu=btwsubj oAtw≥c,
ectt w≥0.x0andw0areopt
imalsol
uti
onsto
t t t
therespect
iveprobl
em iffw0(b-Ax0)=0andx0(Aw0-c)
=0.

ProofLetx0andw0beopt i
malsol uti
onstot herespect
ivepr ems.Letp=w0t(
obl b-Ax0)
,q=x0t(
Atw0-
c).Sinceb
t t t tt t t t
-Ax0,Aw0- c,w0,x0≥0,itfollowst hatp,q≥0.Alsop+q=w0b-w0 Ax0+x0Aw0-x0c=w0b-x0c=0[si nce
tt t t t
x0Aw0=(Ax0)w0=w0( Ax0)=w0 Ax0andsi ncex0andw0ar eopt
imalsol
uti
ons,byFundament alTheorem on
dualit
y,w0tb-x0tc=btw0-
ctx0=0].
Sincep,q≥0andp+q=0, itfoll
owsp=0=q.Hencecondit
ionsarenecessar y.

Conver
sel
y,l
etcondi
ti
onshol ng,w0tb=x0tcf
d.Addi ort
wof easibl
esol
uti
onsx0,w0ofpr
imalanddualLPP.
ByFundament
alTheorem ofDual
i
ty,
x0,w0areopt i
malsol
utions.

Theorem 5.11( Complementar

ySl acknessTheorem:Al ter
nati
veform)Letxandw beopti
malf
easi
ble
t t
solut
ionstothepr i
mal:Maxz=cx, subjecttoAx≤b,subj
ecttoAx≤b,x≥0andit
sdualMi
nu=bwsubj
ectt
o
Atw≥c,w≥0respecti
vel
y.Thenwixn+i=0(i=1,
..
.,
m)andxjwm+j=0(j
=1,
..
.,
n),t
hati
s,

(
1)Theproductofit
hlegi
ti
mat
evar
iabl
eoft
hedualandit
hsl
ackv
ari
abl
eoft
hepr
imalv
ani
shes,
i
=1,
..
.,
m

(
2)Theproductoft
hej
thl
egi
ti
mat
evar
iabl
eoft
hepr
imal
andj
thsur
plusv
ari
abl
eoft
hedual
vani
shes,
j
=1,.
.,
n.

ProofAft
eraddi ngasetofm sl
ackv ar
iablesxs,
thepri
malconstraint
sbecomeAx+I mxs=b.Pr
e-mult
iply i
ng
bywt≥0,wtAx+wtxs=wtb.Nowi x0txst)beanopt
f( i
malsolut
iont
ot hepri
malandw0beanopt imalsolution
tothedual,thenMaxz=w0t(
Ax0)=Minu= btw0=w0tb.Hencew0txs=0.Hence∑m
i
wx =0.Si
=1 i n+i
ncewi≥0,xn+i≥0,
wegetwixn+i=0, i
=1,
.
..
,m.

Subtr
actingasetofnsur plusv ariabl
esws fr
om t heconst r
ai sofdualLPP,Atw-
nt Inws=ct.Hencext(
Atw)
-
t tt t t t t t t t t t
I
nxw s=xc .Si
ncex(Aw )
=( A x)w =w (Ax)
,w ehavew (
A x)
-xw s=cx .As x0and(w ,w
0 s ) areo pt
imalsol
uti
ons
ofpri
mal anddualLPP,w0t(Ax0)=ctx0imply
ingx0tws=0.Si
ncexj≥0,wm+j≥0,thenxj.
wm+j=0f orj=1,
..
.,
n.

Deduct
ionsI
fxn+i≠0,t
henwi=0andconv
ersel
yifwi≠0,
thenxn+i=0.Hence

 Ifaslackvari
ablexn+ihasbeenaddedtot
heit
hconstrai
ntoft
hepri
mali
sdif
fer
entf
rom zer
oinany
optimalsolut
ionofpr imal
,thentheit
hdualvar
iabl
eswiofdualLPPwi
llbezeroi
neveryopti
mal
soluti
on.

 Conver
sel
y,ifwii
sdi f
fer
entfr
om z
eroi
nanyopt
imalsol
uti
onofdualLPP,t
henxn+i=0i
nev
ery
opt
imalsol
uti
onofthepri
mal.

 I
fanyl egi
ti
matev ar
iablebeposi
ti
veattheoptimalstage,t
henthecorrespondi
ngdualsurpl
us
v
ari
ablewillbezer
owhi chi
mpli
esthatt
hecor
respondi
ngdualconst
rai
nti
sast ri
ctequal
i
tyandvi
ce
v
ersa.

 Foranopt i
malsoluti
onoft
hepri
malifit
hconst
rai
ntbest
ri
cti
nequal
i
ty,
thent
heit
hsl
ackv
ari
abl
e
xn+i>0andhencewi=0andv
icev
ersa.

Chapt
er6:
Transpor
tat
ionPr
obl
em
Atranspor
tati
onpr obl
em (TP)isapar
ticul
arty
peLPPi nwhi chapar ti
cul
arcommodi tywhi chisstoredat
di
ff
erentwarehouses( or
igi
ns)i
stobet r
anspor
tedtodiff
erentdistr
ibut
ioncentr
es(destinati
ons)insucha
waythattr
ansportati
oncostismini
mum.LetO1, …,
Om bem or i
ginsandD1,…,
Dnbendest inati
ons,quanti
ty
st
oredatorigi
nOibeai( i=1,
…,m)andrequi
rementatdestinati
onDjbebj( j
=1,…,
n).Letthecostcij(
i=1,…,
m;

40|
Page
j
=1,
…,n)oft
ransportationperunitofcommodi
tyfrom or
igi
nOitodest
inat
ionDjbeknown.ATPiscall
ed
m n
bal
ancedif
f∑i=1ai=∑j=1bj(
1);ot
her
wisetheTP i
sunbalanced.TheTP istodeter
minenumberofuni
ts
xij≥0(
i=1,
…,m;j
=1,
…,n)ofquant itytobet r
ansport
edfrom or
igi
nOit odest
inati
onDjsucht hatthetot
al
transport
atoncostz=∑m
i i ∑n
=1 j
cx
=1 i
jij
ismi
nimum subj
ecttot
hec ondi
ti
onthata=
i capaci
tyofO=t
i ot
aluni
ts
t
ranspor
tedf
rom Oit
ondi
ff
erentdest
inat
ions=∑n
=1x
j i
j
(
i=1,
…,m)andbj=capaci
tyofDj=t
otaluni
tst
obe
t
ranspor
tedt
oDjf
rom m di
ff
erentdest
inat
ions=∑m
i
xj(
=1 i
j
=1,
…,n)
.

Thust
heTPcanbeputas:

Mi
ni zez=∑m
mi =1∑
i
n
=1c
j xjsubj
i
ji
o∑n
ectt =1x
j =ai(
i
j
i=1,
…,m)
;∑m
i
xj=bj(
=1 i
j=1,
…,n)
,xij≥0(
i=1,
…,m;
j
=1,
…,n)

I
nt heTP,thereare(m+n)constr
aintsinmnv ar
iabl
esxij(
i=1,
…,m;j=1,…,
n).W.L.
O.G.,wemayassume
numberofv
ar i
abl
esinaLPPisgreaterthannumberofconstr
aint
s(consider
ationofdualLPP)
,int
hiscase
mn≥m+nsot hatwemayassumem andnbot h≥2.

I
nmat
ri
xnot
ati
on,
theTPcanbeputas:
Mini
mizez=ctxsubj
ectt
oAx=b,
x≥0,
wher
e

()
a11 a12 a1n a21 a22 a2n a31 a32 a3n am1 am2 amn

x11
x12

( ) ()
…
1 1 … 1 0 0 … 0 0 0 … 0 … … 0 0 … 0
x1n a1
0 0 … 0 1 1 … 1 0 0 … 0 … … 0 0 … 0
0 0 … 0 0 0 … 0 1 1 … 1 … … 0 0 … 0 x21 a2
… … … … … … … … … … … … … … … … … … …
0 0 … 0 0 0 … 0 0 0 … 0 … … 1 1 … 1 x22
A=… … … … … … … … … … … … … … … … … …,x= … ,b=am
1 0 … 0 1 0 … 0 1 0 … 0 … … 1 0 … 0 x2n b1
0 1 … 0 0 1 … 0 0 1 … 0 … … 0 1 … 0 … …
… … … … … … … … … … … … … … … … … …
… … … … … … … … … … … … … … … … … … xm1 bn
0 0 … 1 0 0 … 1 0 0 … 1 … … 0 0 … 1
xm2
…
xmn

Not eR(
A)=R(A,
b)≤m+n- 1si
nce,forexampl e,R1=(Rm+1+…+Rm+n)-
(R2+…+Rm).Act ually
,itcanbeshownt hat
R(A)=R(
A,b)=m+n-1.Thusanysetof( m+n)ormor eofaijv ector
sar eli
near lydependentwher eaiji
st he
columnofAcor respondingtovari
ablexij(i
=1,…,m;j=1,…,
n).
Wenot ethataij=ei+em+j,wherebot
hekdenot es
thekthcolumnoft heident
it
ymat ri
xofor der(m+n) .

abj
Theor
em 6.
1A bal
ancedTPhasaf
easi
blesol
uti
onx
i=i (
j i
=1,
…,m;
j
=1,
…,n)
, eM=∑m
wher a= n
=1 i ∑=1b
j .
M i j

ai∑n
=1b
j j n m
bj∑m
i
a
=1 i
Pr
oofSi
nceai,
bj≥0,
xij≥0fori=1,
…,m;
j=1,
…,n.Al
so,
∑ x= =aiand∑i=1xij=
j
=1 i =bj,
for
M j M
i
=1,
…,m;
j
=1,…,
n.Hencet heresult
.

Theor
em 6.
2Abal
ancedTPhasanopt
imal
b.f
.s.

ProofSinceev erybalancedTPhasaf easibl

esolut
ion,ithasab.f.
s.I
fx=(
xij)isanyfeasi
blesol
utionoft
he
TP,then0≤xij≤min{ai,
bj}
,fori
=1,
…,m;j=1,
…,n;hencet
hev alueoftheobj
ecti
vef uncti
onisboundedforall
feasi
blesolution.Henceobj ect
ivefunct
ionmusthav efinit
eminimum val
ue.Ast heobjecti
vefuncti
onhas
anoptimalv alue,t
her eexist
satleastoneopt i
malb.f
.s.totheTP.

Theorem 6.
3Inabal
ancedTPhav
ingm or
igi
nsandndest
inat
ions(
m,n≥2)
,numberofbasi
cvar
iabl
esi
na
b.
f.s.i
satmostm+n-1.

41|
Page
Pr
oofTheconst
rai
nt e∑n
sar =1x
j =ai(
i
j
1)∑m
,i
xj=bj(
=1 i
2),
i
=1,
…,m;
j
=1,
…, so∑m
n.Al a= n
=1 i ∑
i =1b
j (
j
3)
.

Fr
om (
1)∑m
,=1∑
i
n
=1x
j =∑m=1ai=∑n
j i
i =1b
j (
j
4)
.Summi
ngf
ir
st(
n-1)const
rai
ntsof(
2)∑n
, 1 m
-
=1∑
j i
xj=∑n
=1 i
-
1
=1b
j (
j
5)
.

Subt
ract
ing(
5)f
rom (
4)weget∑n
, =1∑
j
m
i ∑n
xj-
=1 i j
1 m
-
=1∑i
xj=∑n
=1 i =1b
j -∑n=-1
j j
1
bj=bn.Thus

=1(
bn=∑m
i ∑n
j=1x
i
-∑n=-1
j j
1
xij)=∑m
i
xn.Hencet
=1 i
hel
ast(
m+n)t
hconst
rai
ntcanbeobt
ainedasal
i
nearcombi
nat
ionof
f
ir
st(
m+n-
1)const
rai
nts.Thusnumberofbasi
cvar
iabl
esi
nab.
f.
s.i
satmostm+n-
1.

Tr
anspor
tat
ionTabl
e

A TP isanLPP andhencecanbesol vedbysi mpl exmet hod.Butduet opr esenceofhi ghlevelof

degeneracy,themet hodi snotsuitabl
ei nsolvingTP.Henceaspeci all
ydesignedt ableisconst r
uctedto
solvetheproblem,call
edt ransport
ati
ontable.Inthi
st able,t
herearemnsquar es, cal
ledcells,ar
rangedinm
rowsandncol umnsThecel lintheithrowandjt hcol umni scall
ed(i,j
)t
hcell.Eachcostcomponentciji s
displ
ayedatthesout h-eastcornerofcorrespondingcell.Theamountxijt obetransportedfrom ithori
ginto
jthdest i
nati
oni sshowni nasmal lsquaresituatedatt hesout h-westcornerofcel l(i
,
j).Capacit
iesof
diff
erentori
ginsanddest i
nat i
onsareli
stedintheout ercolumnandout errowrespectively
.

Loopsi
naTr
anspor
tat
ionTabl
eandt
hei
rPr
oper
ti
es

Inat ranspor
tat
iontabl
e,anorderedsetoff ourormor ecell
sissai dtoform al oopiff(1)anyt wo
consecuti
vecell
sintheorder
edsetli
eeit
herinthesameroworinthesamecol umn,(2)notmor ethantwo
consecuti
vecell
sintheor
deredsetli
einthesamer oworsamecolumn( 3)t
hefir
standt hel
astcell
soft he
setli
eeitheri
nthesamer oworinthesamecol umnand( 4)t
heor der
edsetofcell
smusti nvolveatleast
tworowsort wocolumnsofthetr
ansport
ati
ontable.

I
nFi
gur
e1,
2,
3bel
ow,
theor
der
edsetofcel
l
sint
heci
rcui
tsar
easf
oll
ows:

Fi
g.1 Fi
g.2 Fi
g.3

(
1)L1={
(1,
1),
(1,
2),
(3,
2),
(3,
4),
(4,
4),
(4,
1)}

(
2)L2={
(1,
1),
(3,
1),
(4,
1),
(4,
4),
(2,
4),
(2,
3),
(1,
3)}

(
3)L3={
(1,
1),
(1,
2),
(4,
2),
(4,
3),
(2,
3),
(2,
1)}

InL1andL3,therear
eonlytwocell
sinthesamer oworsamecol umn;suchaloopiscall
edasimplel
oop.I
n
L2,t
herearethreeorder
edcel
lsinthefir
stcol
umnandhencei tisnotaloop.Int
ransport
ati
onprobl
em,we
consideronl
ysimpleloop.Not
et hatinasimpleloop,t
her
ear eeit
herexactl
ytwocellsornocelli
neach
row,hencethenumberoforderedcell
sinasimpleloopi
salwayseven.

AsetCofcell
sofatr
anspor
tat
iont
abl
eissai
dtocont
ainal
oopi
fthecel
l
sofCoranysubsetofCcanbe
or
deredsoastof
orm al
oop.

Theorem A subsetoft hecol

umnsoft
hecoef
fi
cientmat
ri
xofa TP ar
eli
near
lydependenti
fft
he
corr
espondi
ngcellscont
ainal
oop.

ProofLett
hecellsofasetofcol umnv ect
orscont ai
nal oop(cont
aini
ngevennumberofcel
ls,asdi
scussed
above)oftheform :L={(a,
b),
(a,c),
(d,
c),
(d,
e),
..
.,
( p,
q) ,
(p,
b) }
.Thecorrespondi
ngcol
umnsaijofthecoeff
ici
ent
matri
xare:aab,
aac,
adc,ade,
.
..
,apq,apbi
nwhi chaij=ei+em+j.Then

42|
Page
aab-aac+adc-ade+.
..
+apq-apb=(
ea+em+b)
-(ea+em+c)
+(ed+em+c)
-(ed+em+e)
+..
.+(
ep+em+q)
-(ep+em+b)
=0

pr
ovi
ngt
hesetofcol
umnv
ect
ors{aab,
aac,
adc,
ade,
.
..
,apq,
apb}i
sli
near
lydependent
.

Conv
ersel
y,l
etCbeasetofl
i
near
lydependentcol
umnsofA:∑Cαijaij=0(
1).Letapq appear
sin(
1)wi
th
αpq≠0.Thust heterm αpqapq=αpq(
ep+em+q)appear
sin(1).Thi
sshowst hatatleastanot
hervect
orofthe
form apjmustappeari
n(1) ,otherwisethept hcomponentof∑Cαijaijwoul
dbeαpq=0(fr
om (
1))
,cont
radi
cti
ng
αpq≠0.Letapk¬ besuchavectorappear
ingi
n( 1)wherek≠q.Asbef
ore,t
her
ewi
l
lbeatl
eastoneot
her
vect
orcorr
espondingtothecol
umnqandanot hercor
respondi
ngt
ocolumnk.

Thiscondi ti
onmayber eali
sed,ifin(1)thereappear sarq andark,r≠psot hatthefourvectorsapq,apk¬,ark¬,
arqform aloop.Abovecondi ti
onmayal sober eali
sed,ifthev ectorsarqandaskappearin(1)andr ≠s, s≠p.
Ifthishappens,then(1)mustcont ai
natl eastoneaddi ti
onalv ectorineachoft herowscor respondingt or
and s.Cont i
nui
ng thispr ocedure, addi t
ion oft wo vect or
sei therresultsinf or
mation ofa l oop or
necessitatesaddit
ionofatl eastt
womor ev ector
stomai nt ai
nlineardependenceofv ect
or sofC.Ast her e
i
saf i
nitenumberofv ector
s,cont inuingt heprocessweul ti
mat el
yf i
ndt hatthesequenceofcel ls
correspondingtoal i
nearlydependentsetofcol umnsofAf ormsal oop.

Cor
oll
aryAf
.s.t
oaTPi
sbasi
cif
fthecor
respondi
ngcel
l
sint
het
ranspor
tat
iont
abl
eaudonotcont
aina
l
oop.

Obt
aini
ngI
nit
ial
Basi
cFeasi
bleSol
uti
ont
oabal
ancedTP
(
1)Nor
th-
WestCor
nerRul
e

I
nt hisprocess,star
ti
ngf rom thenort
h-westcor
ner,asav ari
abl
exiji
sassignedaposi
ti
vev al
ue,we
reducethecorrespondingrimrequir
ementssianddjbythatval
ue.Lett
hereducedval
ueofsianddjbe
̂ ̂
denotedbysianddjr especti
vely
.

̂ ̂ ̂
Beginni
ngincell(1,
1),l
etx11=Mi n{
s1,d1}
>0andr eplaces1, d1bys1=s1- x11,d1=d1-
x11.I
fs1 >0, movetocell
̂ ̂ ̂ ̂ ̂
(1,
2)andassignx12=min{s1,d2}>0thereandlets2=s1- x12,d2=d2-
x 12;ot
her wise,ifs1=0,mov etocel
l(2,
1)
̂ ̂ ̂ ̂
andassignx21=mi n{
s2,d1}>0andl ets2 =s2-x21,d2=d1- x12.Thispr ocessofassi gningt hemaximum
possibl
eallocat
iont othenor th-
westcor nerofr educedt ablecont inues.Not et hatthecases1=d1
̂ ̂
producesdegeneracy,becauseaf tercomput i
ngx11, ther educedv al
uess1 andd1 ar ebothzeros;hence
thebasicvari
ablex21=0(alternati
vely,onecanmov et ocel l(
1,2)andmadev ari
ablex12 basi
catv al
ue
zero).

Thenor thwestcor nerrul

eproducesexactl
ym+n- 1basic,nonnegat
ivexij’
s.Eacht imeanxijismade
basicandassi gnedsomenonnegat i
vev al
ue,ei
therasupplyorademandconst raintissat
isfi
ed.When
m+n- 1vari
ableshav ebeenassi
gnedvalues,t
henm+n-1oft heconstr
aint
sar esatisfi
ed.Notingthatone
oftheconstraintsofTPi sr
edundant
,thenallt
heconstr
aintsaremet.

Exampl
e6.
1Det
ermi
neani
nit
ial
b.f
.s.usi
ngnor
thwestcor
nerr
uleoft
heTP:

D1 D2 D3 D4 ai

O1 12 4 16

4 6 5
9

43|
Page
 O2 10 2 12

4 1
2 6

O3 7 8 15

5 2
7 9

bj 12 14 9 8 43

Allocatex11=mi n(
16,12)
=12tocell(1,
1).ThedemandofD1i ssati
sfi
ed, henceal
lot hercel
lsinf i
rstcol
umn
remai nvacant.Asb1=12<16=a1,t
hereforenextall
ocati
oni
sincell(
1,2):x12=mi
n(16-12,14)=4.
Nowcapaci ty
ofO1 hasbeenex hausted.Nextall
ocati
onx22=mi n(
12,
14-
4)=10ismadei ncel
l(2,2).Proceedingsimil
arly,
wegetx23=2, x33=7andx34=8andal ltherimr equir
ement
sar esat
isfi
ed.Thesol utionobt ai
nedi sab.f.s.
sincet hesetofcellscontai
ngassignmentsdonotcont ai
nal oop(numberofv ari
abl es=4+3-1=6)andt he
costoft heassignmentis4x12+6x4+6x10+4x2+2x7+9x8=226uni ts.

(
2)Vogel
’
sAppr
oxi
mat
ionMet
hod

Step1Selectt
helowestandnexttolowestcostforeachrowanddeterminet
hedi f
ferencebet
weenthem
foreachrowanddispl
aythem wi
thi
nfir
stbracketagai
nstt
hecorr
espondingri
mr equi
rementofthatr
ow.If
therear
et woormor ewi
thsamel owestcosts,dif
fer
encemaybet akenaszero.Repeatt hepr
ocessfor
columns.

Step2Findt
hel ar
gestvalueoft hedi fferencesandf i
ndouttheroworcolumnf orwhicht hedif
fer
enceis
maximum.Letthemaximum di ffer encecor r
espondstoithrow.Selectt
helowestcostinithrow.Suppose
i
toccursin(
i,
j)thcel
l.All
ocat exij=mi n(ai,
bj)to(i
,j
)thcel
l
.Ifthemaxi mum di
ff
erenceoccur si
nmor ethen
onerowand/orcol
umn, selectthecel l withmi ni
mum costoutofthoserow(
s)/column(s).

Step3I fai<bj,
crossof ft heit
hrowanddimi
nishbjbyai.I
fbj<ai,cr
ossoffthej
thcol
umnanddimini
shaiby
bj.I
fai=bj,all
ocatexij=ai=bji
ncel
l(i,
j
)andcr
ossofftheithr oworjt hcolumnbutnotbot
h.Ofcourse,we
canomi tbot ht heit hrowandjt hcol
umnsimul
taneousl
ybyi nsert
ingabasi
cvari
abl
ezerot
ooneoft he
cell
soft hecor respondi ngrow orcol
umnpossessingthenextmi ni
mum costandthesol
uti
onwi l
lbe
degenerat einthatcase.

St
ep4Recomput et herow andcol
umndif
fer
encesf
ort
her
educedt
ranspor
tat
iont
abl
e.Repeatt
he
pr
ocedur
eunt
ilal
lri
mr equi
rement
sar
emet
.

Exampl
e6.
2Fi
ndani
nit
ial
B.F.
S.off
oll
owi
ngTPusi
ngVogel
’
sappr
oxi
mat
ionmet
hod:

D1 D2 D3 D4 aj

O1 5 2 7(
9) 7(
9) 2(
40) 2(
40)

19 30 50 10

O2 7 2 9(
10) 9(
20) 9(
20) 9(
20)

60
70 30 40

44|
Page
O3 8 10 18(
12 10(
20 10(
50
) ) )
8 70
40 20

bj 5(
21) 8(
22) 7(
10) 14(
10) 34

5(
21) 7(
10) 14(
10)

7(
10) 14(
10)

7(
10) 4(
50)

Step1Sel ectthel owestandnextt olowestcostf oreachr ow andeachcol umnanddet er

mi nethe
diff
erencebetweent hem foreachr ow andcolumnanddi splaythem wi thi
nf i
rstbr acketagainstthe
respecti
verowsandcol umns.Maximum diff
erenceis22whi choccursatt hesecondcol umnandt he
minimum costofdiffer
entcel
lsinsecondcol
umni sc32=8.Al
l
ocatemi n(
18,8)=8incell(3,2).DemandofD2
hasbeensat isf
iedandweshadet hesecondcolumnasshowni nt hetable.Ther educedcostmat ri
xis
obtainedaf
terdelet
ingthecostcomponentsofthesecondcolumn.

Step 2 Applyi
ng same t echni
que tothe resul
ti
ng reduced mat
ri
x,t
he capaci
ti
es,demands and the
di
fferencesofthecostcomponent shavebeenshowni nthesecondcompar
tment.Maxi
mum diff
erenceis
21whi choccursint hefirstcol
umnandt helowestcostcomponentamongstthecell
soffir
stcolumn
appearsincell(1,
1).Al
locatemin(7,
5)=5incell(
1,1)
.ThedemandofD1 hasbeensati
sfi
edandwedel ete
fi
rstcolumntogetthereducedcosmat r
ix.

Step3Proceedi
ngsimilar
ly,maximum dif
ference50occur si
nthir
drowandcellwit
hmi nimum costal
one
thi
rdr
owi sincel
l(3,
4).Al
locat
emi n(10,
14)=10i ncel
l(3,
4)andcapaci
tyofO3getsexhausted.Del
etet
hir
d
rowtoobtai
nreducedcostmat r
ix.Usi
ngsamet echni
que,ul
ti
matel
yweobtaini
nit
ialb.
f.
s.

Exampl
e6.
3Obt
ainani
nit
ial
b.f
.s.usi
ngVAM:

D1 D2 D3 D4 ai

O1 6 6(
2) 6(
2) 6(
2)

4 6 5 2

O2 10 10(
3)

6 4 4
1

O3 12 12(
1) 12(
1)

2 3 1
5

O4 9 4 0 1 14(
2) 14(
2) 14(
2) 14(
2)

4
6 7 8

bj 9(
0) 16(
2) 10(
2) 7(
1)

9(
0) 16(
4) 0(
2) 7(
1)

9(
0) 4(
0) 0(
2) 7(
6)

45|
Page
 9 4 0 1

Herethesoluti
oni sadegenerat
eB.F.S.Thesolut
ionisnotuniquebecauset hebasicv ar
iabl
escanbeput
i
not hercell
ssot hatt
hesetofcellsdonotcont ainaloop.Af t
eral l
ocati
ngmi n(
10,10)=10incel
l(2,
3),
capacit
iesofO2 andD3 ar
emetsi multaneousl
y.Wecancrossof feitherthesecondrowandput‘ 0’i
nthe
thi
rdcolumnorcr ossofft
hethir
dcolumnandput‘ 0’i
nthesecondr ow.

Opt
imal
i
tyCondi
ti
ons

Theorem Letui( i=1,…,

m)andv (
jj=1,
…,n)bedualvari
abl
esassoci
atedwitht hem or
igi
nsandndestinati
ons
respect
ivel
yofaTP.Thenf oroccupi edcel
l
s( i
,
j),
uiandvjsat
isf
yui+v
j=cijandf
ornon-occupi
edcel
l(i
,
j),
net
evaluat
ionzij-
cij=∆ij=(ui+v
j)
-cij.

Pr
oofTheTPi
s:Mi
ni zez=∑m
mi =1∑
i
n
=1c
j xjsubj
i
ji
o∑n
ectt =1x
j =ai(
i
j
i=1,
.
.,
m)∑m
, i
xj=bj(
=1 i
j=1,
…,n)
,xij≥0.

ThedualLPPi
s:Maxi
mi =∑m
zez* ua+ n
=1 i i ∑
i =1v
j bsucht
jj
hatui+v
j≤cijf
oral
liandjandui,
vjar
eal
lunr
est
ri
ctedi
n
si gnf oralliandj .I
ti sknownt hatifBi sopt i
malbasi soft heprimalandcB bet hecorrespondingcost
vect or,t hen (by Fundament alTheor em ofDual it
y)opt imalsol ut
ion oft he dualLPP i s given by
-1t
(u1,…,um,v1,
…,v
n)=w=(B )cB.Thusi faij bethecol umnoft hepr i
malconst r
aintcorr
espondingt othev ari
abl e
cij=cBty cij=cBtB-1aij-
cij=wtaij- t
xij,t
hent henetev al
uat i
onzij- i-
j cij=(u,v
) (
ej+em+j)
-cij=(
u1,
..
.,
um,v
1,.
..
,
v n)(
ej+em+j)
-cij=
ui+vj-cij (
i=1,
…,m;j=1,…,n)(
2)Si ncenetev aluat ioncor respondi ngt oacol umninabasi si szero,foran
occupi edcell
,ui+v=c
j ij(1)

Note(1)Usi
ngopt imal i
t ycr i
ter
iacorr
espondi
ngtoami nimizati
onLPP,sol ut
iont oaTPi sopti
maliffnet
eval
uati
onszi
j-
cij=ui+v-
jcij≤0forallunoccupi
edcel
ls.Usi
ngr elat
ion(
1)f orbasi cv ar
iabl
es,wegetasetof
val
uesof(u1,
.
..,
um,v1,.
..
,
v n)a ndthenuse( 2)t
oobtainnetevaluati
on ∆ij=ui+v-
jcijf
ornon-basi
ccel
ls.I
f∆ij’
s
are≤0f oral
lnon-basiccel
ls(t
hatis,unal
locat
edcells)
,cur
rentsoluti
onisopt
imal.I
fther
eisnon-
basi
ccell
withposit
ivenetevaluati
on,cur
rentsolut
ionisnotopt i
mal.Netev al
uati
onscor
respondi
ngtoanon-basi
c
celli
sshowninthenor th-
westcornerofthecorrespondi
ngcellencir
cled.

Exampl
e6.4I
ntheTPgivenbel
ow,allbasi
ccell
saremar kedbyci r
cul
arspot
s.Thesolut
ion(
notgi
veni
n
thet
abl
e)i
sab.f
.s.Weneedt
ocalcul
atenetev
aluat
ionscorrespondi
ngtonon-
basi
ccell
s.

ui

. . -
1 3

6 9 3
8 7

-
1
. .4 .7
6 0
4

-
6 1
.4 5

0
9 5 2

1 6 -
1
.8
6 1

46|
Page
 3 1

v
j 3 6 4
7

Thecel l
smar kedbyci r
cularspotsare4+4-1=7innumberanddoesnotcont ai
nal oop;hencethesoluti
on
providedisab. f.
s.I
nthesecondr ow,ther
ear eamaxi mum numberoft hreebasi
ccells;l
etusputu2=0( i
n
gener al
,avari
ableuiorvji
stakentobezer osuchthatthecorrespondi
ngr oworcolumncont ai
nsmaxi mum
numberofbasi c cel
ls).Forbasi c cel
l( 2,
2),6=c22=u2+v
2=0+v2=v2.Simil
arl
y,using basic cel
l( 2,
3),
4=c23=u2+v3=v3.I
nthi
smanner ,usi
ngtherealti
on

cij=ui+v
j corr
esponding t
o basi
ccells,wegetasetofv al
uesofu1¬, ..
.,
u4 and v1,
.
..
,v
4.Ne xt
,thenet
ev aluati
onscorr
espondingto non-
basiccel
l
sar
ecal
cul
atedusing∆ij=ui+v-
jcijandt
healreadycalcul
ated
val
uesofu1¬,
..
.,
u4andv1,
..
.,
v4.Thus,f
orexample,∆13=-
1and∆14=3.Si
ncet
her
ear
enegat
ivenetev
aluat
ions
cor
respondi
ngtonon-basi
ccel l
s,cur
rentb.
f.
s.i
snotopt i
mal
.

Det
ermi
nat
ionoft
heEnt
eri
ngCel
l

SinceTPisami nimizati
onprobl
em,vect
orapk enter
st hebasi
s(cel
l(p,
k)becomesabasi
ccell
)if
fzpk-
cpk=max{ cijzij-
zij-: cij>0}.I
fthemaximum i
snotuni que,anyonecel
lcorr
espondi
ngtot
hemaximum val
ue
i
,
j
oft
henetev
aluat
ioni
stakenasabasi
scel
li
nnexti
ter
ati
on.

Det
ermi
nat
ionoft
hedepar
ti
ngv
ect
or(
cel
l
)

Letthecell(p,
k)betheent er
ingcell
.Thenumberofbasi
ccell
si ncl
uding(
p,k)i
s(m+n- 1)
+1=m+n.Theset
ofcol umnv ector
scor r
espondingt othese(
m+n)cellsarelinearl
ydependent.Thusi tispossi
bleto
constructaloopconnecti
ngthecell(p,
k)andt
hesetoranysubsetofthebasiccel
ls.Constr
uctt
heloopby
tr
ialanderrormethodanditisunique.

All
ocateav aluec>0( t
obedet ermi nedsubsequent ly)tocell(p,k)andr eadjustthev aluesoft hebasi c
vari
ablesint heor deredsetofcel lscont ai
ningthesi mpleloopbyaddi ngandsubt ractingt hev al
uec
alt
ernatel
yfrom t hecor r
espondingquant i
ti
essucht hatallri
mr equirement sar esatisfi
ed.Nowsel ectthe
maximum v alueofci nsuchawayt hatreadjust
edv al
uesoft hev ar
iablesv anishatl easti nonecel lofthe
orderedsetandal lotherv ar
iabl
esr emai nnon-negati
ve.Letthev ari
ablev anishat( r
,s)cel l:thenci staken
asxrs.Thisv aluei sal l
ocatedtot henew basi ccell(p,
k).Cell(r,
s)becomet hedepar tingcel l
.Allbasic
vari
ablesint hecel lsnoti nthel oopr emai nunchanged.I tmayhappent hatt her eadj ustedv al
uesof
vari
ablesmayv ani shf ormor ethanonecel l.Inthatcase,selectar bi
traril
ythedepar tingcel loutoft he
compet i
ngcells; sol uti
oninnextiterationistobedegener ateinthatcase.

Exampl
e6.
4Consi
dert
heTPgi
veni
nExampl
e6.
3.Wecheckopt
imal
i
tyf
ir
stbycal
cul
ati
ngnetev
aluat
ions:

D1 D2 D3 D4 ai ui

O1 -
6 -
6 -
4 6 6 -
6

4 6 5 2

O2 -
8 -
4 10 - 10 -
6
2
6 4 4
1

47|
Page
O3 -
5 12 0 3 12 -
4

2 3 1
5 We find allt
he ui,v
ju si
ng cij= ui+vjfor
al
l
ocat ed cel
l
s and t hen cal cul
at e net
O4 9 4 0 1 14 0 ev
aluations∆ij=ui+v-
c cor
res pond i
ngt o
j i
j

4 non-basi
ccells.Si
ncenetev al
uati
onint he
6 7 8 non-basi
ccel lis3>0,currentb.f.s.i
snot
opti
mal . We set up a l oop
bj 9 16 10 7
L={(
3,4),
(3,
2),
(4,2),
(4,
4),
(3,
4)}. Since
vj 4 6 7 8 min{12,1}
=1,w ea ssignx34=1,ma ki
ngc el
l
(3,
4)abasi ccelli
nt henewbasi s.Keeping
ri
mrequi
rement
sinmi
nd,weadj
ustt
hebasi
cvar
iabl
esasi
nthefoll
owingt ableandcheckopt i
malit
yof
newsol
uti
on:

D1 D2 D3 D4 ai ui

O1 -
3 -
3 -
1 6 6 -
3

4 6 5 2

O2 -
8 -
4 10 -
5 10 -
6

6 4 4
1

O3 -
5 11 0 1 12 -
4

2 3 1
5

O4 9 5 0 - 14 0

4
6 7 8

bj 9 16 10 7

v
j 4 6 7 5

Since al lt he net ev aluat

ions cor
respondi
ng t
o non-
basi
c cel
l
s ar
e ≤0, curr
ent solut
ion
x14=6,
x23=10,
x32=11,
x41=9,
x42=5,
x43=0 is opt i
mal and mini
mum cost of transpor
tat
ion i s
6x2+10x1+11x2+1x1+9x4+5x6+0x7=107.

Unbal
ancedTr
anspor
tat
ionPr
obl
em

f∑m
I a> n
=1 i ∑
i =1b
j ,a f
j
ict
it
ious dest
inat
ion Dn+1 wi
th capaci
ty bn+1=∑m a-n
=1 i∑
i =1b
j j
i
sint
roduced and costof
t
ranspor
tat
iont
odest
inat
ionDn+1f
rom or
igi
nsO1,
.
..
,Om ar
etakenas0.

f∑m
I a< n
=1 i ∑
i =1b
j ,
j
af
ict
it
iousor
igi
nnOm+1wi
thcapaci
tyam+1=∑n
=1b
j -∑m=1aii
j i
sint
roducedandcostoft
ranspor
tat
ion
f
rom or
igi
nOm+1t
odest
inat
ionsD1,
.
..
,Dnar
etakenas0.

Exampl
e6.
5Fi
ndopt
imal
sol
uti
ont
otheunbal
ancedTP:

D1 D2 D3 D4 ai

O1 14 19 11 20 10
48|
Page
O2 19 12 14 17 15

O3 14 16 11 18 12

bj 8 12 16 14

I
ntr
oducingfi
cti
ti
ousori
ginO4wit
hcapaci
ty=50-
37=13andcor
respondi
ngcostcomponent
s0,
weconsi
der
t
hebalancedtr
anspor
tati
onprobl
em:

D1 D2 D3 D4 ai

O1 14 19 11 20 10

O2 19 12 14 17 15

O3 14 16 11 18 12

O4 0 0 0 0 13

bj 8 12 16 14

Wef
indi
nit
ial
b.f
.s.usi
ngVAM:
D1 D2 D3 D4 ai

O1 10 10(
3) 10(
3 10(
3 0 0
) )

14 19 11 20

O2 12 2 1 15(
2) 15(
2 3(
3) 3(
3) 3(
3) 3
)

19 12 14 17

O3 8 4 12(
3) 12(
3 12(
3 12(
3 4(
7) 0
) ) )

14 16 11 18

O4 13 13(
0) 0 0 0 0 0

0 0 0 0

bj 8(
14) 12(
12) 16(
11) 14(
17)

8(
0) 12(
4) 16(
0) 1(
1)

8(
0) 0 16(
0) 1(
1)

8(
5) 0 6(
3) 1(
1)

0 0 6(
3) 1(
1)

0 0 2 1

Wet
estopt
imal
i
tyoft
hei
nit
ial
b.f
.s.
:
D1 D2 D3 D4 ai ui

49|
Page
O1 0 -
10 10 -
6 10 -
3
Sincenetev
aluat
ionscorr
espondi
ngtonon-
basiccel
l
sareall
non-posi
ti
ve,
curr
entb.
f.
s.
14 19 11 20
X13=10,x22=12,
x23=2,
x24=1,
x31=8,
x33=4,
x44=13
O2 -
2 12 2 1 15 0 i
s opt imal .Accor di
ngly,13 uni t
si s not
tr
anspor tedt oD4 andmi nimum costi s10x
11+12x12+2x14+1x17+8x14+4x11=455
19 12 14 17 units.
O3 8 -
7 4 -
4 12 -
3

Sol
uti
ont
oadegener
atepr
obl
em
14 16 11 18
Degener acy (t
hati s,numberofal l
ocated
O4 0 -5 -3 13 13 -
17 cell
s<m+ n-
1: i
nt hatcaseu iandvjcann ot
bedet ermined)mayoccuratt heini
ti
alstage
oratanysubsequenti ter
ation.Supposeat
0 0 0 0 anyiterati
onnumberofbasi ccell
sisp<m+n-
1.Weal l
ocatesmal lposit
ivequantit
yεt o
bj 8 12 16 14
(m+n-1-p)numberofnon- basiccell
ssot hat
vj 17 12 14 17 thesec ell
sd ono tfor
m al oopw i
ths omeo r
alloft he basiccel l
s.We putε=0 atany
subsequenti
ter
ationi
fitisf oundthatthesol
uti
onatt
hatst agei snon- degenerat
eonput ti
ngε=0.
Otherwi
se,weputε=0af
terreachi
ngopti
malb.
f.
s.
Exampl
e6.
6Fi
ndopt
imal
sol
uti
ont
otheTP:

D1 D2 D3 D4 ai

O1 2 5 4 7 4

O2 6 1 2 5 6

O3 4 5 2 4 8

bj 3 7 6 2

I
nit
ial
b.f
.s.byNor
thWestCor
nerRul
eisdegener
ate:
Numberofbasi
ccel
li
s5<3+4-
1=6.

Tabl
e1

D1 D2 D3 D4 ai

O1 3 1

4
2 5 4 7

O2 6 6

6 1 2 5

O3 6 2 8

4 5 2 4

bj 3 7 6 2

50|
Page
Wesetx23=ε>0smal
landadj
ustal
readyexi
sti
ngassi
gnment
ssoast
omeett
her
imr
equi
rement
s:
Tabl
e2
D1 D2 D3 D4 ai ui

O1 3 1 2 1 4

4
2 5 4 7

O2 -
8 6 ε -
1 6+ 0
ε

6 1 2 5

O3 -
6 -
4 6 2 8 0

4 5 2 4

bj 3 7 6+ε 2

v
j -
2 1 2 4

Cur
rentsol
uti
oni
snotopt
imal
.Si
nce2=∆13=max
{∆ij:
∆ij>0}
,wesetupal
oop{
(1,
3),
(1,
2),
(2,
2),
(2,
3)}
:

Tabl
e3
D1 D2 D3 D4 ai ui

O1 3 1-ε ε -
1 0

4
2 5 4 7

O2 -
8 6+ε -
2 -
3 6+ -
4
ε

6 1 2 5

O3 -
4 -
2 6 2 8 -
2

4 5 2 4

bj 3 7 6+ε 2

v
j 2 5 4 6

Si
nceallnetev
aluat
ionsar
enon-
posi
ti
ve,cur
rentB.
F.S.i
sopt
imal.Put
ti
ngε=0,opt
imalB.
F.S.t
oor
igi
nal
TPis:
x11=3,
x12=1,
x22=6,
x33=6,
x34=2andmi
nimum costoft
ranspor
tat
ioni
s3x2+1x5+6x1+6x2+2x4=37.
NoteATPi ngenerali
sami nimi
zati
onprobl
em.Buti
finaTP,obj
ect
ivefunct
ioni
stobemaximi
zed,we
needusetherelat
ionMaxz=-Mi n(
-z)andtr
ytominimi
ze(-
z)andhencewechangethesignofeach
el
ementi
nt het
ranspor
tat
iontabl
e.
Exampl
e6.
6Fourpr
oduct
sar
epr
oducedi
nthr
eemachi
nesandt
hei
rpr
ofi
tmar
ginsar
egi
veni
nthet
abl
e:
P1 P2 P3 P4 Capaci
t
y

51|
Page
M1 6 4 1 5 14

M2 8 9 2 7 18

M3 4 3 6 2 7
Requi
reme 6 10 15 8
nt

(
a)Youarer
equi
redtofi
ndasuit
ableproduct
ionpl
anofpr
oduct
sinmachi
nessot
hatt
hecapaci
ti
es
andr
equi
rement
saremetandtheprofi
tismaxi
mised
(
b)Doest
hepr
obl
em admi
tsofanal
ter
nat
iveopt
imal
sol
uti
on?
(
a)Repl
aci
ngt
heent
ri
esi
nthepr
ofi
tmat
ri
xbynegat
ives,
ani
nit
ial
uni
queb.
f.
s.i
sobt
ainedas:

8 6
0 -
3
- - - - 14
6 4 1 5

6 10 -
1 2

- - - - 18
8 9 2 7

-
7 -
9 7 -
8 7

- - - -
4 3 6 2

6 10 15 8

Itcanbecheckedaftercal
culat
ingui,
vjand∆ij’
sthatcurrentb.f
.s.x13=8,
x14=6,
x21=6,
x22=10,
x24=2,x33=7i
s
opt
imalandMin(
-z)
=-1x8+9-
5)x6+(-
8)x6+(
-9)
x10+( -
7)x2+(
-6)x7=-
232.HenceMaxz=- Mi
n( -
z)=232.
(
b)Ifzij-
cij=0f oranon-basi
ccellattheopt i
malst age,thentheTPhasanal t
ernati
veopt
imalsol
ution.
Her ez11- c11=0forthenonbasiccell(
1,1).Hencet heTPhasanal ter
nativeopti
malsol
uti
on.Tof i
nd
the al ternati
ve optimalsol ut
ion,we sel ect cell( 1,
1) as a basi c cell,form al oop
L={( 1,
1) ,
(1,4),
(2,
4),
(2,
1)}
,assignmaximum possi ble6uni tincel
l(1,
1).Keepingri
mrequi
rementsin
mind, basi cvari
abl
esofcells(2,
1)and( 1,4)si
mul taneousl
yvani
shesandhencedegeneracyoccur s
atthi sst age.

Chapt
er7:
Assi
gnmentPr
obl
em
I
nAssignmentProbl
em someori
ginsaretobeassi
gnedt
oequalnumberofdest
inat
ionsi
nonet
oone
basi
ssucht
hatthetot
alassi
gnmentcosti
smini
mum.
Lettherebem jobsandm per sonstowhom t hejobsaretobeassi gnedsuchthatajobisassignedtoonl y
oneper sonandeachper soni
sassignedonlyonej ob.Lett
hecostofassi gni
ngjobj(j=1,
.
..
,m)t opersoni
(i
=1,.
..
,m)becij;
letxij(
i=1,
.
..
,m;
j
=1,
..
.,
m)beav ar i
abledefi
nedbyxij=1,i
fjobji
sassignedtopersoni andxij=0,
otherwi
se.Theassi gnmentprobl
em (AP)canbeputas:
Tof
indxi
j
≥0whi
chmi
nimi
zez=∑m
=1∑
i
m
=1c
j xjsubj
i
ji
o∑m
ectt i
=1 i ∑m
xj=bj=1,=1x
j =ai=1(
i
j
i,
j=1,
.
.,
m)(
*)

Thusi
nanAP,
wear
etosel
ectm cel
l
sinanm xm TP,
onl
yonecel
lineachr
owandi
neachcol
umn,
such
52|
Page
thatt
hesum oft
hecor
respondi
ngcost
sbemi
nimum.Si
ncexijar
erest
ri
ctedt
obeei
ther0or1,APi
snot
anLPP.
InanAPconsider
edasaspecialcaseofTP,ab.f.
s.shoul
dcontai
n(2m-1)basi
cvar
iabl
es.Int
hecaseof
anAP,outoft hi
s(2m-1)basicv ar
iabl
es,m basi
cv ari
abl
eshavev al
ue1andr emaini
ng(m-1)basi
c
var
iabl
eshav
ev al
ue0.Thusb.
f.s.
swi l
lhavehi
ghlevel
ofdegener
acy.

APcanbeputas:
mini
mizez=∑m
=1∑
i
m
=1c
j xjsubj
i
ji
o∑m
ectt =1x
j =1(
i
j
i=1,
…m)
,-∑m
i
xj=-
=1 i
1(j
=1,
…,m)
,xij≥0(
I,
j=1,
.
.,
m)

nctxsubj t
I
nmat r
ixf
orm ,APcanbestat
edas:Mi ectt
oAx=b,x≥0,wher
ex=(x11,
…,xim,
…,xm1,
…,xmm),Aisa
2m xm2mat t
r
ixwhose(i
,
j)t
hcol
umnisaij=ei-
em+j(
i,
j=1,…,
m)andb=(1,
-1)wher
e1i sar owv ectorofm ones.

Them ‘or
igins’Oi(
i=1,
…,m)canbebiject
ivelyassi
gnedt om ‘
desti
nat
ions’Dj(
j=1,
…,m)inm!way s.Foreach
suchassi
gnment ,choosingt hecor
respondingxijvar
iabl
esthatequal1asbasi cvari
abl
es,weobt ai
nm
basi
cvari
ablesthatar eunit
y.Tocompl etethebasi
s,weneedt oselect(m-1)(degener
ate)var
iabl
esfrom
2
ther
emainingm - mv ar
iabl
es.

Dual
toAP

Maxi
mize∑m u-m
=1 i∑
i =1v
j j

Subj
ectt
oui-v
j≤cij(
I,
j=1,
…,m)
,ui,
vjar
eunr
est
ri
cted(
i,
j=1,
…,m)

Bycompl ement aryslacknesstheorem 5. 10,ifwecanf indasetoff easi

blevaluesf orx,
u,vsat
isf
yingthe
t
compl ement aryslacknesscondi t
ion:(cij-
ui+v)
jxij=0(
i,
j=1,
…,m),thenxand( uv)wi l
lbef easi
blesol
utionto
respect i
vepr oblems.A f easi
blesolutiont ot heduali sgi venby :ui=mi
nimum{ cij:
1≤j
≤m}( i
=1,
…,m),vj=-
mi nimum{ cij-
ui:1≤i≤m}(j
=1,…,m),t
hatis, uiisthemi nimum ciji
nr owIandv ji
sthenegat i
veoftheminimum
(cij-ui)i
ncolumnj .

TheReducedMat
ri
x
̂
Consi
derar
educedcostcoef
fi
cientmat
ri
xwher
eciji
srepl
acedbycij=cij-
ui+v
j.I
not
herwor
ds,t
her
educed
costmatr
ixisobtai
nedbyfi
rstsubtracti
ngfrom eachrow theminimum i
nthatrow ,andthenonthe
resul
ti
ngmatr
ix,
subtr
act
ingf
rom eachcolumnt hemini
mum inthatcol
umn.Ther
educedmatri
xwill
hav
ea
zeroi
never
yrowandcolumnandallofitsent
ri
esarenonnegativ
e.

Theorem 7.
1Givenacostmat
ri
xC=( cij)
mxm,
anyopti
malsolutionoft heAPwit
hCascostmatr
ixisalsoan
* * *
opti
malsoluti
on oftheAP wit
h costmat ri
xC=(cij)
,cij=cij-
ui-
v,
jui,
vjar
earbi
tr
ari
l
ychosen constant
s,
i
,j
=1,.
..
,m.

oofz*=∑m =1( )xij=∑mi=1∑mj=1cijxij-∑mi=1∑mj=1uixij-∑mi=1∑mj=1vjxij=

m *
Pr =1∑
i =1c
j i
xj=∑m
j i =1∑
i
m
j cij--
uiv
j

∑m
z-i
u-m
=1 i∑=1v
j j
nce∑m
(si i
xj=1=∑m
=1 i =1x
j ).Hencezandz* di
i
j
ff
erbyaconst
antwhi
chi
sindependentofxij’
s.

̂ ̂
Thusanyopt
imalsol
uti
onofAPwi
thcostmat
ri
x C =(
cij)wi
l
lal
sobeopt
imalsol
uti
onoft
heor
igi
nalAP
wi
thcostmat
ri
xC=(
cij)
.

Supposethatwecanfi
ndaf easi
blesetofv aluesofv ari
ablesxijsuchthateachxijwit
hv al
ue1is
̂ ̂
associ
atedwit
hazer
ocellofC.Thenx0(Atw0-c)=∑m
=1∑
i
m
=1x
j jcij =0 andw0t(
i b- =w0t0=0(
Ax0) sincepr
imal
const
rai
ntsareAx0=b.Bycompl ement
arysl
acknesst heorem 5.
10,
xijv
aluespr
ovi
deanopt i
malsol
uti
onof
thepr
imal.Fr
om t heconstr
aint
sofAP,itiscl
eart hatwemusthav eexact l
yonexiji
neachrowequalto1
andexact
lyonexijineachcolumnequalto1;otherxijval
uesarezer
o.

Exampl
e7.
1Consi
dert
hecostmat
ri
x(cij)
:

53|
Page
 I I
I I
II I
V RowMi
nima

A 3 2 5 4 2

B 0 1 2 3 0

C 4 1 -
1 3 -
1

D 2 5 3 4 2

Subt
ract
ingr
owmi
nimaf
rom eachel
ementoft
her
espect
iver
ow,
weget

I I
I I
II I
V

A 1 0 3 2

B 0 1 2 3

C 5 2 0 4

D 0 3 1 2

Column 0 0 0 2
Minima

Subt
racti
ngt hecol
umnmi
nimai
nthenew mat
ri
xfr
om eachel
ementi
nthecol
umn,weobt
ainr
educed
̂
matr
ix(cij)as:

I I
I I
II I
V

A 1 0 3 0

B 0 1 2 1

C 5 2 0 2

D 0 3 1 0

Now,ifweletx12=x21=x33=x44=1andal
lotherxij=0,t
henwehaveafeasi
blesol
uti
onwit
hposit
ivexijv
alues
associ
atedwi
tht heindicatedzerocell
softhereducedmatri
x,t
husproduci
nganopti
malsol
uti
on.

Exampl
e7.
2Consi
dert
hecostmat
ri
x(cij)
:

I I
I I
II

A 2 5 7

B 4 2 1

C 2 6 5

̂
Thecor
respondi
ngr
educedcostmat
ri
x(cij)i
s:

54|
Page
 I I
I I
II

A 0 2 5

B 3 0 0

C 0 3 3

Her
e,iti
snotpossi
blet
osetthr
eeoft hexijv
ari
abl
esequalt
o1suchthatal
lthr
eeposi
ti
vexijv
aluesoccur
i
nzerocell
sandnotwoposi
ti
vexijv
aluesoccurint
hesameroworcol
umn.

APar
ti
alSol
uti
on

Noti
cethatf
ortheforegoi
ngreducedmat r
ix,t
hemaxi mum numberofxijv ariabl
esassociat
edwi t
hthezer
o
cel
ls,whi
chcanbesetequal t
o1wi thoutanytwoposi ti
vexijvaluesoccurri
ngi nthesamer oworcolumni
s
2.Forexample,wemi ghtl
etx11=x22=1,orx11=x23=1,orx31=x22=1orx31=x23=1.I
nthiscase,themaximum
̂
numberofcellshavi
ngzero cijval
uessucht hatnot wocel lsoccupyt hesamer ow orcolumnis2.The
cor
respondi
ngcell
sar
ecall
edi ndependent
.Not i
ceal
sot hati
fwewer etodr
awasetofhori
zont
aland/
or
ver
ti
calli
nesthr
oughrows/
columnst ocov eral
lthezerossot hattherei
satleastonel
i
nethr
ougheach
zer
o,themini
mum numberofsuchl i
nesforthi
smatri
xis2.Wehav e:

Theor
em Themaximum numberofi
ndependentzer
ocel
l
si nar
educedassi
gnmentmat
ri
xisequalt
othe
mini
mum numberofl
inestocov
eral
lthezer
osinthemat
rix.

Modi
fyi
ngt
heReducedCostMat
ri
x

Supposethatwehav enotfoundaf easi

blesetofposi ti
vexijvaluesassoci atedwiththezerocellsofthe
reducedmatrix.Considerthecoveredmatrixobt
ainedbycov er
ingt hezerosi nthereducedmat r
ixbyusing
fewestnumberofl ines.Letkbet henumberoflinesr equir
ed.LetSr={ i
1,
i2,
…}bet hesetofuncov eredrows
̅ ̅
andSc={j
1,
j2,
…}bet hesetofuncov eredcolumns.DefineSr=M- Sr,Sc =M-Sc,wher eM={ 1,
…,m}.
Finall
y,l
etp
bet henumberofr owsi nSrandqbet henumberofcol umnsi nSc.Thenk=( m-p)
+(m-q).Letc0 bethe
minimum ofuncov eredelements,thati
s,
̂
c0=mi
nimum{ i∈ Sr,
cij: j∈ Sc}
>0.I
tcanbedemonst
rat
edt
hatanewdual
feasi
blesol
uti
oni
sgi
venby
:

̅ ̂ ̅ ̂ ̅ ̅ ̂ ̅ ̂ ̅
ui=ui+c0f
ori∈ Sr;ui=ui,
i∈ Sr;v
j
=v
j
,j
∈ Sc;vj
=v
j
+c0,
j∈ Sc.

Int
hereducedmatr
ixhav
ingel
ement
scij-
ui+v
j,t
hisi
sequi
val
entt
osubt
ract
ingc0f
rom eachuncov
eredr
ow
andaddi
ngc0toeachcover
edcol
umn.

Exampl
eFort
hepr
evi
ous3x3costmat
ri
x,wehav
ec0=mi
n{2,
5,
3,
3}=2andt
henewr
educedcostmat
ri
xis
gi
venby

I I
I I
II

A 0 0 3

B 5 0 0
C 0 1 1

Noti
cethatnow af
easibl
esetofxijv
aluesexi
sthavingposi
tivexijv
aluesassoci
atedwi
ththezerocell
s
(z
erodualsl
ackvar
iabl
es).Not
ethatpri
malfeasi
bil
i
tyisatt
ained,dualfeasi
bil
i
tyi
smaint
ained(si
ncethe
55|Page
ent r
iesint
hereducedcostmatr
ixar
enonnegat
ive)andfi
nal
l
y,compl
ement
aryslacknessholdsgood(si
nce
* * *
xij=1onl yi
fthecorrespondi
ngdualsl
acki
szero).Henceanopti
malsol
uti
onis:x12=x23=x31=1(al
lot
her
xij*=0).

Comput
ati
onal
Procedur
e

Ifthepr oblem isamaxi misati

onpr obl
em,t henconv erti tintoami nimi zationproblem asf ol
lows:the
l
ar gestelementoft hepr ofi
tmat ri
xi sselectedandanewcostmat r
ixisf ormedwhoseel ement sarethe
l
ar gestelementminust hepr ofi
telementoft hecorrespondi ngcel l
.Subt ractt heminimum costel ementof
eachr ow fr
om allotherel ement soft her especti
ver ow.Thensubt r
actt hemi ni
mum el ementofeach
columnf r
om allot
herel ement soft herespect i
vecol umn oft heresultingcostmat ri
x.Asetofkzer oes
(k≥m)wi llbeobtai
nedi nt henewcostmat rix.Thismat r
ixiscalledthest ar t
ingcostmat ri
x.Assignments
aremadei nter
msofzer oes.Assi gnmentwi l
lbeopt imali fitispossiblet oassi gnonlyinthecellsofzero
cost .Weneedt ocheckwhet herthisassignmenti scompl ete.Iti
sdoneasf oll
ows:Drawt heleastpossibl
e
numberofhor i
zontaland/ orvert
icalli
nest ocov erallthezer osoft hest artingcostmat ri
x.Letthenumber
ofl i
nesbeM.Twocasesmayar i
se:

Case1IfM=m, thent
heoptimali
tyconditi
onsaresati
sfi
ed:iti spossi
blet
oselectasi
nglezeroineachrow
* *
andeachcolumnoft het
ransport
ati
ont ableandhencecijxij=0whichistheopti
malval
uez ofz.St ar
ti
ng
wit
hthefi
rstrowofthest
arti
ngmat ri
x,examineallt
herowsoft hismatri
xwhichcont
ainonlyonezeroinit
andmarkthi
szer owi
th

asanassi gnmentwillbemadet her

e.Dr aw ver
ticall
inesalongthecolumnscontainingtheseassigned
zeroest
oel i
minatethepossi
bil
i
tyofmaki ngfur
therassignmentsinthosecol
umns.Whenal lthezeroes
havebeenex amined,applysi
milarproceduretot hecol umns:examineal
luncrossedcol umnst of i
nd
columnscontai
ningexact
lyoneuncoveredzero,mar ksuchazeroby anddr awhor izont
alli
nesthr
ough
thesemarkedzeroes.

Case2I fM<m,f i
ndthesmal lestel
ementi nthest art
ingtabl
eamongt heuncov er
edel ement sleftaf
ter
drawi
ngmi nimum numberofl i
nestocov eral lzeroes.Subtractt hi
sel ementf r
om al ltheuncov er
ed
element
soft hecurr
entmat r
ixandaddt hesameel ementt ot
heel ement slyi
ngatt heintersecti
onofthe
hori
zont
alandv er
ti
calli
nes.Elementst hroughwhi chonlyonel i
nepassesr emainsunaltered.Thi sgives
themodifi
edmat r
ix.Checkwhet her case1hol dsf orthemodifiedmat r
ix.I
fcase1hol ds,wecanf i
nd
opti
malassignmentasexplai
nedabov e.Ulti
mat ely
,repeati
ngcase1, oneoft hefol
lowingcasesar ise:

(
1)Ther
eisnounmar
kedzer
olef
t

(
2)Ther
ear
emor
ethanoneunmar
kedzer
oesi
natl
eastoner
oworcol
umn

I
nt hefi
rstcasethealgori
thm st
opsandwehav eexactl
yonemar kedzeroineachr
owandineachcolumn
ofthegivenmat ri
x:theassi
gnmentcor r
espondingtothesezeroesisoptimal
.Int
hesecondcase,mark
wit
h anyoneoft heunmarkedzeroesarbi
trari
lyandignor
etheremainingzer
oesint
hatroworcol
umn.
Repeattheprocessuntil
nounmar kedzeroi
sleftinthematri
x.

Exampl
e7.
1Consi
dert
hecostmat
ri
x

Tabl
e1

J1 J2 J3 J4 J5

P¬1 160 130 175 190 200

P2 135 120 130 160 175

P3 140 110 155 170 185

56|
Page
P4 50 50 80 80 110

P5 55 35 70 80 105

Subt
ract
ingsmall
estel
ementofeachr ow f
rom al
ltheel
ement
soft
hatr
ow andt
henr
epeat
ingt
he
oper
ati
onsforcol
umns,
wegetthest
art
ingcostmatr
ix:

Tabl
e2

J1 J2 J3 J4 J5

P¬1 30 0 35 30 15

P2 15 0 0 10 0

P3 30 0 35 30 20

P4 0 0 20 0 5

P5 20 0 25 15 15

Wedr awl eastnumberofhor i

zont
aland/orver
ti
calli
nestocoveral
lthezeroes.Mini
mum numberoflines
requi
redis3,whi chislessthan5,thesizeofthemat ri
x.Thusthestar
ti
ngcostmat ri
xdoesnotprovide
opti
malsol uti
on.Thesmal l
estoftheuncover
edelementsis15,whichweaddt ot
heelement
slyi
ngatt he
i
ntersecti
onoft hev ert
icalandhorizont
alli
nes,subtr
actitfr
om alluncoveredelement
stoobt ai
nt he
modi f
iedcostmat r
ix:

Tabl
e3

J1 J2 J3 J4 J5

P¬1 15 0 20 15 0

P2 15 15 0 10 0

P3 15 0 20 15 5

P4 0 15 20 0 5

P5 5 0 10 0 0

Sincethemi ni
mum numberofhor i
zont
al/v
erti
call
inestocoveral
lthezeroesintable3hasbeen5,equalt
o
thesizeofthemat r
ix,
opt
imalassi
gnmentcanbeobt ainedfr
om thetabl
e.Wedr awt abl
e3afreshshowi
ng
onlytheposi t
ionsof0;star
ti
ngf r
om fi
rstrow,examineallrowsforuniquezer o,markitwit
haboxand
delet
et hecorrespondi
ngcol
umnandf i
nall
yrepeatitf
orcolumns.Wear r
iveatthef ol
l
owingassi
gnment:

Tabl
e4

J1 J2 J3 J4 J5

P¬1 0
0
P2 0
0

P3
0

57|
Page
P4
0
0

P5 0
0
0

Hencet
heoptimalassi
gnmentis:P1→J5,
P2→J3,
P3→J2,
P4→J1,
P5→J4andt
hemi
nimum costofassi
gnment
i
s200+130+110+50+80=570.

Exampl
e7.
2Consi
dert
hecostmat
ri
x

J1 J2 J3 J4 J5

P1 6 5 8 11 16

P2 1 13 16 1 10

P3 16 11 8 8 8

P4 9 14 12 10 16

P5 10 13 11 8 16

Subt
ract
ingminimum costofr
espect
iver
ow f
rom al
lel
ement
soft
her
espect
iver
ow andr
epeat
ingi
tfor
col
umns, wegett
hestart
ingmat
ri
xas:

Tabl
e1

J1 J2 J3 J4 J5

P1 1 0 3 6 11

P2 0 12 15 0 9

P3 8 3 0 0 0

P4 0 5 3 1 7

P5 2 5 3 0 8

Sincemi ni
mum numberofhor i
zont
aland/orv
ert
icalli
nestocov
erallthezerosi
s4<5=t hesizeoft he
mat r
ix,cur
rentt abl
e1doesnotpr ovi
deopti
malsolut
ion.Wemodif
ythecosttabl
ebyadding3( minimum
ofuncov er
edel ementsbyli
nesinTable1)toal
lel
ement sl
yi
ngatt
heinter
sect
ionofhor
izont
alandv ert
ical
l
inesandsubt ract3f r
om al
luncover
edelement
s:

Tabl
e2

J1 J2 J3 J4 J5

P1 1 0 0 6 8

P2 0 12 12 0 6

P3 11 3 0 3 0

P4 0 5 0 1 4

P5 2 5 0 0 5

58|
Page
Sincemi ni
mum numberofl inest ocov erallzeroesis5,equaltothesi zeofthematri
x,
currenttable
providesopt i
malsolut
ion.Wedr awtable3af reshshowingonlyt
hepositi
onsof0;star
ti
ngfrom fi
rstrow,
exami neallrowsforuniquezero, mar
kitwi t
haboxanddel et
ethecor
respondingcol
umnandf i
nall
yrepeat
i
tf orcolumns.Wear ri
veatthef oll
owingassignment :

Tabl
e3

J1 J2 J3 J4 J5

P1 0 0

P2 0 0

P3 0
0
0

P4 0 0

P5 0 0

P2→ J1,
P4→ J3,
P5→ J4

Al
ter
nat
iveassi
gnment
sar
epossi
ble:P1→ J2,
P3→J5,

P2→ J4,
P4→ J1,
P5→ J3

Tot
alcostoft
ranspor
tat
ioni
nei
theral
ter
nat
iveassi
gnment
sis34.

Not
eIfsomeassi gnmenti
stobebar r
ed,alar
gecostisputint
hecorr
espondi
ngcel
l.I
fthecostcoef
fi
cient
i
snegat
iveinsomecell,
asuffi
cient
lyl
argeposit
ivequant
it
yisaddedt
oeachelementofthecostmatri
xso
t
hatal
lentr
iesbecomenon-negati
ve.

Exampl
e7.
3Fi
ndt
hemi
nimum costcor
respondi
ngt
othecostmat
ri
x

Tabl
e1

J1 J2 J3 J4

P1 4 5 3 2

P2 1 4 -
2 3

P3 4 2 1 -
5

Thegi vencostmatri
xcontainssomenegati
vecostsanditisanunbal
ancedprobl
em hav
ingthreepersons
and4j obs.Fir
st,al
lentr
iesaremadenon-negati
vebyadding5toeachelementofthematri
x.Second,the
problem ismadebal ancedonebyaddingaf i
cti
ti
ouspersonP4 wi
thzerocostcomponentst oallcell
s
correspondi
ngtoP4.Thusweobt ai
nthestart
ingtabl
e:

Tabl
e2

J1 J2 J3 J4

P1 9 10 8 7
59|
Page
P2 6 9 3 8

P3 9 7 6 0

P4 0 0 0 0

Subt
ract
ingminimum el
ementofeachr
ow f
rom al
lel
ement
soft
hatr
ow andr
epeat
ingt
heoper
ati
onf
or
col
umns, wear
ri
veat:

Tabl
e3

J1 J2 J3 J4

P1 2 3 1 0

P2 3 6 0 5

P3 9 7 6 0

P4 0 0 0 0

Sincemini
mum numberofli
nestocoveral
lzer
oesis3,lesst
han4,si
zeofthematr
ix,weadd2(mini
mum
ofuncover
edelementst
oel
ementslyi
ngatthei
nter
sect
ionofhor
izont
alandver
ti
calli
nesandsubt
ractt
he
samefrom uncov
eredel
ementst
oarri
veat:

Tabl
e4

J1 J2 J3 J4

P1 0 1 1 0

P2 1 4 0 5

P3 7 5 6 0

P4 0 0 2 2

Mini
mum numberofl
i
nesr
equi
redt
ocov
erzer
oesi
s4,si
zeoft
hemat
ri
x.Hencecur
rentt
abl
epr
ovi
des
opti
mal
solut
ion:

Tabl
e5

J1 J2 J3 J4

P1 0 0
0
P2 0
0
P3 0
0
P4 0 0
0
ThusP1→J1,
P2→J3,
P3→J4andt
hemi
nimum costofassi
gnmenti
s4+(
-2)
+(-
5)=-
3.

Example7.
4Findt
hemi nimum costcorr
espondi
ngtothecostmat
ri
xinwhi
chOper
ator1cannotbe
assi
gnedmachi
neI
IIandOper
ator3cannotbeassi
gnedmachi
neI
V:

I I
I I
II I
V

60|
Page
1 5 5 -
- 2

2 7 4 2 3

3 9 3 5 -
-

4 7 2 6 7

Weassi
gnal
argecost100i
ncel
l(1,
I
II)and(
3,I
V)andpr
oceedasusual
:

Tabl
e1

I I
I I
II I
V

1 5 5 100 2

2 7 4 2 3

3 9 3 5 100

4 7 2 6 7

Subt
ract
ingmini
mum el
ementofeachr
owf
rom al
lel
ement
soft
hecor
respondi
ngr
owandr
epeat
ingt
he
sameoperat
ionf
orcol
umns,weget

Tabl
e2

I I
I I
II I
V

1 0 3 98 0

2 2 2 0 1

3 3 0 2 97

4 2 0 4 5

Mini
mum numberofl i
nestocoverallzeroesi
nTable2is3,l
esst
hanthesize3ofthemat
rix.Wemodify
thetabl
ebysubtr
acting1from al
luncov er
edelement
sandadd1toal
lelementsl
yi
ngatt
heinter
sect
ionof
hori
zontal
andvert
icalli
nestoobtai
nTabl e3:

Tabl
e3

I I
I I
II I
V

1 0 4 99 0

2 1 2 0 0

3 2 0 2 96

4 1 0 4 4

Minimum numberofl i
nestocoveral
lzeroesi
s3,lessthan t
hesizeofcostmat
ri
x.Hencewesubt
ract1
(
mi nimum ofalluncover
edelements)fr
om alluncov
eredelementsandadd1t oelement
sly
ingatthe
i
ntersect
ionofhori
zontal
andvert
icall
i
nes:

Tabl
e4

I I
I I
II I
V

1 0 5 99 0

61|
Page
2 1 3 0 0

3 1 0 1 95

4 0 0 3 3

Minimum numberofli
nest
ocov
eral
lzer
oesi
s4,
equalt
othesi
zeofcostmat
ri
x.Thusopt
imalsol
uti
oni
s
obtai
nedfrom Tabl
e5:
Tabl
e5

I I
I I
II I
V

1 0 00

2 0 0
0
3 0
0
4 0 0
0
Thusopt
imal
assi
gnmenti
s1→I
V,2→ I
II
,3→ I
I,
4→Iandcostofassi
gnmenti
s2+2+3+7=14.

Chapt
er8:
GameTheor
y
Thecompet i
ti
vesit
uationswi thtwoormorecompet it
orshav i
ngconfli
cti
ngi
nter
est
sandwher etheacti
on
ofonedependsupont heact i
onstakenbyothers,isknownasGames.Compet i
tor
sar er
efer
redt oas
pl
ayers.A str
ategyforapl ayerisacompl et
eenumer ationofal ltheact
ionshemi ghtt
akef orever
y
cont
ingencythatmightarise.Thestr
ategyofaplayerdet
er mineshisithmovebutt
hemov ei
tsel
fdepends
onwhathappensbef orethei t
hmov eofthatpl
ayer.Characteri
sti
csofaGameare:

 Numberofpl
ayer
sisf
ini
te

 Ther
eisaconf
li
ctofi
nter
est
sbet
weenpl
ayer
s

 numberofav
ail
abl
eact
ionsav
ail
abl
etoeachpl
ayeri
sfi
nit
e

 Rul
esgov
erni
ngt
hechoi
ceofact
ionsar
eknownt
oeachpl
ayer

 Out
comeoft
hegamei
saf
fect
edbyt
hechoi
cesmadebyt
hepl
ayer
s

 Allcombi
nat
ionsofcour
sesofact
ionchosenbyv
ari
ouspl
ayer
sresul
tinsomeout
comeoft
he
game,cal
l
edplayof
fnumber
.
Atableshowingpayof
fnumber st oaplayerAiscalledapay of
fmatrixf
orA.Iftherear
et woplay
ersA,
Bin
agameandm, nbethenumberoft hei
rav ai
l
abl
eact ions,
thenthepayoffmatri
xofthegamei sofsi
zem x
n.Thepayoffmatri
xcorrespondingtoplayerAindicatesthegains(
lossconsider
edasnegat i
vegai
n)t
oA
(whoseacti
onsarewri
ttenont helef
tofthematrix)foreachpossibl
epairofacti
onsofplayer
s.
Agamei nwhichther
ear etwoplay
ersandi nwhichcorrespondingtoeverypairofpossi
bleacti
onsofthe
twoplayers,
gainofplayerA(supposingAismaxi misi
nghi sprofi
t)i
slossofplayerBiscall
edtwo-per
son
zer
o-sum game.I nat wopersonzero-sum game,thepay offmatrixofplayerBisnegati
vet othepayoff
matri
xofpl ayerA.Inapay -
offmatrixofpl ay
erA,A i spr of
it
-maximisi
ng( r
ow)playerandBi sloss-
mini
mi zi
ng(column)player
.
Example8. 1SupposetwopersonsA,
Bwr it
eoneofthenumber
s1,2or3si
multaneousl
yandindependent
ly.
I
fthesum oft henumberswrit
tenbyAandBi seven,t
henAwinsandBpaysAanamountequal t
othesum
i
nr upees,whil
eifthesum i
sodd,Bwi nsandApay stoBanamountequalt
ot hesum inr
upees.Thisisa
two-personzerosum gamewhosepay-offmatr
ixforAis:

62|
Page
Pay
-of
fmat
ri
xforpl
ayerA Pay
-of
fmat
ri
xforpl
ayerB
B

B1 B2 B3 A

A A1 2 -
3 4 A1 A2 A3

B A2 -
3 4 -
5 B1 -
2 3 -
4

A3 4 -
5 6 B2 3 -
4 5

B3 -
4 5 -
6

TheMaxi
min-
Mini
maxPr
inci
ple
Consi
dert
wo-
per
sonzer
o-sum gamewi
thf
oll
owi
ng3X3pay
-of
fmat
ri
xforpl
ayerA:
B

B1 B2 B3

A A1 4 6 4

A2 3 -
1 0

A3 4 8 2Aist r
yingtomaxi mizehisgai nsandBi stryi
ngtomi ni
mizehislosses.
ThusifAadopt sapar t
icularact i
onoutofA1, A2 orA3,Bwouldl i
ket o
adoptact ioninsuchawayt hathispayofftoAi smi ni
mum ( corr
espondi ngtot heacti
onchosenbyA) .Thus
Bwi llplayB1/ B2,
B2andB3 correspondingt otheact i
onA1,A2,A3 ofA,pay i
ngt oA 4, -1and2uni tst oA
respecti
v ely
.Theobj ect
iveofAwoul dbet oselectthatst
rategyf orwhi chthemi ni
mum assur edreturnis
maximum.Thus,f ort hegivenpay -
offmat ri
x,themaxi minst r
at egyforpl ay
erAi sA1 andt hemaxi min
payoffforAi s4uni ts.

PlayerBwoul d,ontheot herhand,trytomi ni

mi zehislosses.Themaximum pay of
ftoAbyBf orplay
ing
B1,B2,
B3are4, 8and4uni t
s( corr
espondingtomov eA1/A2,A3andA1respecti
velyofA).Bwouldidenti
fythe
minimum 4ofhi smaximum l ossesandplaythecor respondingmini
maxst r
ategy.Whenmaxi mi
nv al
ueofa
game coi ncideswi t
h minimaxv al
ue (asi nthi sexampl e,4 i
st he maximin and mini
maxv al
ue),
the
correspondingstrat
egiesarecalledopti
mal str
ategies(inthi
sexample,A1andB1/ B3areopt
imalstr
ategi
es)
andt hecoincidedval
ueiscal l
edv al
ueofthegame.

Def
ini
tion Asaddl
epointorequil
i
bri
um poi
ntofapayoffmat
ri
xisthatposi
ti
on(
ifexi
sts)i
nthepayof
f
matri
xwherethemaximum ofrowminimacoinci
deswi
ththemini
mum ofcol
umnmaxima.Thepayof
fat
t
hesaddlepoi
ntiscal
l
edthevalueoft
hegame.

Thus,(
k,r
)thposi
ti
onofapay
offmat
ri
x(aij)i
sasaddl
epoi
nti
ffakr=maxmi
naij=mi
nmaxaijhol
ds.Saddl
e
i j j i
poi
ntandhencev
alueoft
hegamemaynotbeuni
que.Amat
ri
xmaynotpossesssaddl
epoi
nt.

̅
Theor
em 8.
1Letv=mi
nmaxaij bet
hemi
nimaxv
alueandv=maxmi
naijbet
hemaxi
minv
alueofamat
ri
x
j i i j
̅
(
aij)
mxn.Thenv≤v.

Pr
oofmaxaij≥aijf
orj
=1,
2,
..
.,
nandmi
naij≤aij,f
ori
=1,
.
..
,m.Lett
heabov
emaxi
mum beat
tai
nedati
=sand
1≤i
≤m 1≤j
≤n
mi
nimum beat
tai
nedatj
=t:maxaij=asjand mi
naij=ait.Thenait≤aij≤asjf
oral
li=1,
.
..
,m;
j
=1,
.
..
,n.Thusv
1≤i
≤m 1≤j
≤n
̅
=maxmi
naij=maxait≤aij≤mi
nasj=mi
nmaxaij=v.
i j i 1≤j
≤n j i

63|
Page
NoteTodet ermineasaddlepointofamat r
ix,
wemar ktheminimum el
ementofeachrowofthemat
ri
xby*
andmaxi mum el ementofeachcolumnby#.I fther
ebeanel ementinthematri
xmarkedby*and#both,
thenthatposit
ionofthemat r
ixisasaddlepoint
.Forthematrix
4 -
1
2 3
,( )
v
̅
=2≠3=v;hencet
hegamehavi
ng
abovemat ri
xasapay -
offmatri
xhasnosaddl epoi ntandconsequentl
ycannotbesolv
edbymaximin-
minimaxprinci
ple(whichusespurestr
ategi
esonly).

̅ ̅
Def
ini
ti
on8.
1Agamei
saf
airgamei
ffv=0=v.Agamei
sst
ri
ctl
ydet
ermi
nabl
eif
fv=v.

( )
4 2 3 5
-2 -
1 4 -
3
Exampl
e8.
3Fi
ndoutsaddl
epoi
nt(
s)off
oll
owi
ngmat
ri
x: .Ver
if
ywhet
hert
hegamei
sfai
r.
5 2 3 3
4 0 0 1
Gameswi
thoutSaddl
ePoi
nt

Sincedet erminingthemi nimum ofcolumnmaxi maandt hemaxi mum ofrow mi ni

maar etwodi f
fer
ent
operations,thereisnor easont oexpectthattheyshouldalway sleadtouniquepayoffpositi
on:t hesaddle
point.Insuchcasest hemaxi minmi ni
max( purestrat
egies)pr i
ncipl
eofsolvi
ngagamepr obl
em br eaks
down.Tomeetsuchsi tuations,t
heconceptofchancemov eisintroduced.Whenachoi ceoutofasetof
strat
egiesi smadenotbyt hedecisi
onofplayerbutbysomechancemechani sm (suchast hrowingadi ce)
,
themov ei scal l
edachancemov e.Eachpl ay
erwoul dl i
ket omi xhisavail
ablestrategiesr andomly
(unpredictably
)sot hathisav er
agepay of
foveral argenumberofpl aysofthegamewoul dbeopt i
mum,
event houghhemayl ose/ paymor einanyindivi
dualplayoft hegame.Letusconsi derthef ol
lowing2x2
playoffmat ri
xforplayerA:

B1 B2 r

A A1 2 -
1 -
1

A2 -
1 0 -
1

c 2 0

Acanensureami ni
mum gai
nof-1uni
tifhealwayspl
aysA1andBcanensurethathewill
neverloosemore
t
han2uni t
sifhealway
splay
sB1.Buti
fafteranumberofpl
aysBguessesthatAisalwaysgoingt opl
ayA1
i
nanti
cipati
onofhisownmov eB1,
hewouldli
ketopl
ayB2t
oreducehi
spay
offt
oAt o-1.Ontheot
herhand,i
fA
guessest hatBissti
cki
ngtoB2 i
nantici
pati
onofhisownmov eA1,hewoul
dli
ket
orespondt
oitbyachoi
cel
east
advantageoustoB,namelyA2,
andthusincr
easehi
spayof
ftozero.

Thusitisnotadv ant
ageousf oreitherpl
ayertoadoptt hesamest rat
egyev er
yt i
me(inagamewi thoutsaddlepoi
nt).
.
Eachplayerneedsami xedstrategywhichwi l
ltel
lhim whent omakeonemov eandwhentomakeot her.However,i
f
thest
rategiesaremi xedaccor di
ngt osomer egularpattern,opponentwillbeabletoguessitandr espondtoitbya
choi
ceadv antageoustohim.Ar eli
ableprocedureofmi xingpur estr
ategi
eswhi chensur
esthattheopponentwi l
lnot
beabletoguessi stomi xinsuchawayt hattheplayerhimsel fwil
lnotknowwhathi snextmovei sgoingtobe.The
simpl
estwayt omi xmov esinar andom manneri srecourset ochancemechani sm l
i
ketossi
ngofacoi n.

Letusseehowcanwef
indopt
imum mi
xedst
rat
egyf
orpl
ayerAwhosepay
-of
fmat
ri
xis

B1 B2

A A1 a11 a12

A2 a21 a22

64|
Page
.Lett heopt i
mum mi xedstrategyforplay
erAbet omi xA1andA2i npr obabili
tiesp1andp2r espectivel
ywher ep1+p2=1.

Thisst rategyf orplayerAwi l

lbedenot edasSA=
( )
A1 A2
p1 p2
,p1+p2=1.Lett heopt imum mi xedst rategyf orplayerBbe:

SB=
( )
B1 B2
q1 q2
,q1+q2=1.Thenetexpect edgai nofpl ayerA i sE1 ( p)=a11p1+a21p2=a11p1+a21(1-
p1) i fhepl aysmi xed

strat
egySA agai nstB’ smov eB1 andi sE2 (p) =a12p1+a22p2=a12p1+a22(1-p1)i fhepl aysmi xedst rategySA agai nstB’s
mov e B1. Agai n,ifB pl ays mixed strategy SB agai nstA’ s pur e mov e A1,then B’ s expected l oss is E1
(q)=a11q1+a12q2=a11q1+a12(
1-q1)andi sE2 (q) =a21q1+a22q2=a21q1+a22(1-q1)agai nstA’ spuremov eA2.p1, p2 ar
et obe
chosensucht hatA’ smi xt
ureofmov esbecomeopt i
mum agai nstanyt wopossi blemov esofB.Weshal lseeshor tl
y
thatifAchooseshi smi xedst rat
egysucht hatt het woexpect edgai nsa11p1+a21(1-p1)
anda12p1+a22( 1-p1)areequal ,
a -
a
thencor respondi ngmi xedst r
ategyofAwi l
l bemaxi mal .Hencep1*= 22 21
,
a11+a22-
(a12+a21)

a11-
a12
p2*=1-p1*= .,whichar
eoptimalst
rategi
esf orA.Achanceproceduret
hatwil
lyi
eldopt
imalstrat
egies
a11+a22-(
a12+a21)
p*
A1 andA2 ofAi s:putonesl i
pofpapermar kedA1 and 2 sl
ipsofpapermar
kedA2 inabox,shakewel
leveryti
me,
p*
1
draw outone pi ece and pl aycorr
espondi
ng str
ategy.Si mil
arl
y,opti
malstr
ategi
es f
orplayerB is gi
ven by:
a -
a
q1*= 22 12
,
a11+a22-
(a12+a21)

a11-a21 aa- aa
q2*=1-q1*= .Thev al
ueofthegameisv
=E(p*,
q*)
=∑m
=1∑
n
=1a
j p*q*= 11 22 21 12 . Not
ethatever
ypure
a11+a22-(a12+a21) i i
ji j
a11+a22-
(a12+a21)
str
ategyisaspeci alcaseofami xedstr
ategyi
nwhi
chal
lst
rategi
esexceptt heonear esel ectedwit
hprobabi
li
tyzer
o
andgivenonewi t
huni tprobabi
l
ity.

Gr
aphi
cal
Met
hodofsol
vi
ngmx2and2xngames

Wehaveseenabovehowt osol
ve2x2game(wi
thorwi
thoutsaddl
epoi
nt)
.Nowweshal
lseehowanmx2
or2xngamecanbereducedtoa2x2gamebygr
aphi
cal
met hod.

Consi
dera2xngamewi
tht
hef
oll
owi
ngpay
offmat
ri
xforpl
ayerA:
Axi
s1 Axi
s
B

B1 .
.. Bj .
.. Bn

A A1 a11 .
.. a1j .
.. a1n

A2 a21 .
.. a2j .
.. a2n

Letmi
xedst
rat
egyofAbe a1j
a21

(
A A2
SA= 1
p 1-
p
.I )
fBempl
oyshi
spur
est
rat
egyBj(
j=1,
.
..
,n)
,thent
heexpect
edpay
offt
opl
ayerp=0 p=1

a1
Ai
sl(
jp)
=a1jp+a2j(
1-p)
=(a1j-
a2j)
p+a2j.Pl
ayerBwoul
dli
ket
oempl
oyt
hatpur
est
rat
egyBjt
hat 1 maxi
mi
n
wi
l
lmi
nimi
zeA’
sexpect
edpay
offl
(
jp)
,j=1,
.
..
,n.Letf
( =mi
p) nl(
j
p)
.Theny
=f(
p)i
sthe a2
1≤j
≤n
j
Lower
l
owerenv
elopeoft
hel
i
nesegment
sy=l
(
jp)
,0≤p≤1.I
ff( =maxf
p0) (p)
,thenf
(p0)gi
vest
he
0≤p≤1

maxi
minexpect
edpay
offt
oA;
iti
spoi
ntofmaxi
mum onl
owerenv
elopeoft
hef
ami
l
yofl
i
nesegment
s

y=a1jp+a2j(
1-p)
,0≤p≤1,j
=1,
.
..
,n.Thet
woexpectedpayoffli
nespassi
ngthroughthismaxminpointt
henident
ifythe
t
wocr i
ti
cal movesofplay
erB.Thepoi
ntofi
nter
sect
ionoftheset
wol i
nest
heny i
eldstheopt
imal
valuep0andf(p0)
.

65|
Page
Exampl
e8.
4 Sol
vegr
aphi
cal
l
ythegamewhosepay
offmat
ri
xforpl
ayerAi
s
2 3 11
(7 5 2)
.Lett
hemi
xedst
rat
egyf
or

pl
ayerAbeSA= 1(
A A2
p 1-
p )
.Expect
edpay
offt
oAagai
nstB’
spur
emov
esar
egi
v :Axi
enby s1

maxi
min
11

l
1(
p)=-
5p+7,
l2(
p)=-
2p+5,
l
3(p)
=9p+2.Thepay
offoft
hef
ir
str
owhav
ebeen
7
r
epr
esent
edonaxi
s2andt
hoseoft
hesecondr
owonaxi
s1.Pay
off

l
i
nel 5
ji
sobt
ainedbyj
oini
ngt
hepoi
ntr
epr
esent
ingpay
offa11onaxi
s2

t
othepoi
ntr
epr
esent
ingpay
offa21onaxi
s1.
Simi
l
arl
ytheot
hert
wo 2
3
2
pay
offl
i
nesar
edr
awnThepoi
ntgi
vi
ngmax
minv
aluei
sthepoi
ntof p=0 p=1

i
nter
sect
ionofy
=l2(
p)=-
2p+5andy
=l3(
p)=9p+2.Sol
vi
ng,
opt
imal
val
ueof

pi
sp0=3/
11andf
(p0)
=49/
11.Thus,t
heopt
imalst
rat
egyf
orpl
ayerAi
s:SA= (A1
3/
11 8/
A2
11
)
.Themaximinpoint

i
denti
fi
esthetwocri
ticalmov esB2 andB3 forplayerB.Thusplay
erBmustpl aystrat (B B B3
egySB= 1 2
0 q 1- )
q
.The

opt
imalval
ueq0ofqisgi venby:q0l
2(
p0)
+(1-
q0)
l3(
p0)
=49/11(val
ueofthegame).Thusq0=9/11.Thusopt
imalstr
ategy

ofBisSB= (
B1 B2
0 9/11 2/
B3
11
. )
Domi
nancePr
oper
ty

Dominancepr
opert
yhelpsustoreduceanmxnr
ect
angul
argamet
omx2or2xngame,
whi
chcant
her
efor
e
besolv
edbygraphi
calmethod.

Consi
dert
hepay
offmat
ri
xforpl
ayerA:

B1 B2 B3 B4

A A1 -
5 3 1 20

A2 5 5 4 6

A3 -
4 -
2 0 -
5

Foral
lpur
emov esofB,thepayoff
scorrespondi
ngtoA2 ar
ealway
sbettert
hant hatcor
respondi
ngt
oA3.
HenceAwil
ldef
ini
tel
ynotplaypur
estr
ategyA3.Thusthepayof
fmatri
xofAreducesto

B1 B2 B3 B4

A A1 -
5 3 1 20

A2 5 5 4 6

Againforpuremov esB2 andB4 ofB,al

lelementsofthesecondandf ourthcolumnsaregreatert
hanor
equalt
ot hecorrespondi
ngelementsofthet hi
rdcol
umn.ThusBdef i
nit
elydoesnotplaypuremov esB2
andB4.Again,f
orA’spuremov eA1,al
lel
ement soft
hefir
strowarelessthanorequaltothecorr
espondi
ng
el
ement softhesecondrow.HenceAwi l
lnotplayA1andthepayof
fmat r
ixreducesto

B1 B3

66|
Page
A2 5 4

Thust
heopt
imal
str
ategi
esar
eA2andB3andt
hev
alueoft
hegamei
s4.

Rul
efordomi
nance

 Ifal
ltheel
ement
sofkt hrowarelesst
hanorequalt
othecor
respondi
ngelementsofr
thr
ow,we
sayrt
hrowisdominat
ingt
hekthrowanddelet
ethekthrowfr
om thepayof
ftabl
e

 Ifallt
heel
ement
sofkthcol
umnaregr
eaterthanorequalt
othecor
respondi
ngel
ement
sofsth
column,wesaysthcol
umnisdomi
nat
ingthekt hcol
umnanddelet
et hekthcol
umnfrom t
he
payoffmat
ri
x

 (gener
ali
seddomi nance)I
ftheelement sofkt hr
owoft hepayoffmatr
ixi
sstr
ictl
ydomi nat
edbya
convexcombinati
onofsomeot herrowsoft hemat r
ix,t
hendeleti
onofkthrowdoesnotaf fectt
he
setofopti
malstrategi
esfortherowpl ayer.Si
mil
arl
y,ifkt hcol
umnofthematri
xstri
ctl
ydomi nat
es
aconv excombinationofsomeot hercolumns,thendel eti
onofkthcolumndoesnotaf f
ectthe
opti
mal st
rat
egi
esf orthecol
umnpl ayer.
Exampl
e8.
5Reducef
oll
owi
ngpay
offmat
ri
xusi
ngmodi
fi
eddomi
nance:
B1 B2 B3

A1 1 2 -
1

A2 3 1 2

A3 -
1 3 2

1 1
Si
nceal
lel
ement
sofR1 ar
edomi
nat
edbyel
ement
sof R2+ R3=(
122),wemaydr
opf
ir
str
ow and
2 2
pay
offr
educest
o
B1 B2 B3

A1 3 1 2

A2 -
1 3 2

Agai
n,al
lel
ement
1 1
2 2
2
sof C1+ C2= ar
1
el()
essthanorequaltothecor
respondi
ngel
ement
soft
het
hir
d
col
umnandt
husdr
opt
hethi
rdcol
umntogetthereducedmat
ri
x:
B1 B2

A1 3 1

A2 -
1 3

whi
chcanbesol
vedbyt
hemet
hoddi
scussedear
li
er.
Exampl
e8.
6Sol
vet
hegamepr
obl
em:
B1 B2 B3 4 Mi
nimax
3
A1 3 -
2 4

A2 -
1 4 2
2
A3 2 2 6 2

67|
Page
Si
ncef
ir
stcol
umndomi
nat
est
hir
dcol
umn,
reducedt
abl
eis
B1 B2

A1 3 -
2
-
1
A2 -
1 4
-
2
A3 2 2

From t hegraph,ther
ear etwol owestpoi ntsoft heupperenv el
ope;hencetwoopt i
malst rategiesofAar e:
(A1,A3) and (A2,A3)
.For ( A1,A3) mov es,t he mul ti
ple opt i
malst rat
egi
es are( p1=0,p2=0,p3=1) and
(q1=4/5,q2=1/
5,q3=0)
;( p1=0,p2=0,p3=1)and ( q1=0,q2=1,q3=0).For( A2,
A3)mov es,t he mul ti
ple optimal
strategiesare(p1=0,
p2=0,p3=1)and( q1=1,q2=0,q3=0);(p1=0,p2=0,
p3=1)and(q1=2/
5,q2=3/5,q3=0).Thev alue
oft hegamei s2whi chissamei nallcases.

Reduct
ionofagamepr
obl
em t
oaLPP
Let( aij)
mxn bet he pay-of
fmat ri
x ofa t wo-person zer o-
sum game.Cor r
esponding to mixed st rategies SA=

(A1 … Am
p1 … pm )andSB=
(
B1 … Bn
q1 … qn )
ofAandBr espectivel
y,thepay-offfunct
ionofBt oAis E(p,
q)=∑m
i=1∑
n
=1a
j pq,wher
i
jij
e

p=(p1,
...,
pm),
q=(q1,
..
.,
qn)ar
ethemixedstrat
egiesSA andSB respecti
vely
.Foranyfixedp,expect
edpr of i
tofAi satleast
minE( p,q).Varyi
ngp, maxmi nE(
p,q)i
sexpectedprofitofplayerAandmi nmaxE( p,
q)i
sexpectedlossf orplayerB.
q p q q p

Theorem 8.
2IfafixednumberPbeaddedtoallt
heel
ementsofthepayof
fmat
ri
x,t
hent
heopt
imal
st
rategi
esremai
nunchangedwhi
l
ethev
alueoft
hegamei
sincr
easedbyP.
ProofLettheori
ginalpayoffmatrixbeA=(aij)andt henewpay offmar i
xbe( aij+P)
.Ifwedenot etheor i
ginal

andthenewpay offfunct
ionsbyE1andE2, thenf ormi xedstr
ategi
esSA= (
A1 … Am
p1 … pm )
andSB= (
B1 … Bn
q1 … qn
of )
AandBr espect
ively
, t
henE1(p1,
.
..
,pm,
q1,
.
.,
qn)=∑m=1∑
i
n
=1a
j piqjandE2(
i
j
p1,
.
..
,pm,q1,
..
,
qn) =∑m
=1∑
i
n
=1(
j piqj.Thus
aij+P)

E2 (
p1,
.
..
,pm,
q1,
.
., =∑m
qn) =1∑
i
n
=1a
j piqj+∑m
i
j =1∑
i
n
=1P
j piqj=E1(
p1,
..
.,
pm,
q1,
.
.,
qn)
+P,si
nce∑pi=∑qj=1.Si
nceE1 andE2 di
ff
er
byaconstant,
themixedst r
at egythatoptimi zesE1wil
lal
soopti
mizeE2andviceversa.
Not
eAddingasuf f
ici
ent
lylar
geposi
ti
veconst
antt
oal
ltheel
ement
soft
hepay
-of
fmat
ri
xifnecessar
y,we
mayassumeaij>0f
orall
i,
j.
Theor
em 8.
3Ev
erygamepr
obl
em (
twoper
sonzer
osum game)canber
educedt
oanLPP.
ProofLett hepay -
offmatr
ixofagamepr obl
em be(aij)
mxnand,ifnecessar ybyaddi ngasuit
ableposit
ive
m n
constant,wemayassumeaij>0f oral li
,j
.Thenthepay-offofBt oA=∑i=1∑j=1aijpiqjwi
l
lbeaposit
ivequanti
ty

foranymi xedst r
ategySA= (
A1 … Am
p1 … pm
andSB= ) (
B1 … Bn
q1 … qn )
ofAandB.Thenetexpect edgai
nofAwhenB

playshispur emov eBji

sEj(
p)=∑m
i
ajpi,
=1 i
j=1,
..
.,
nandnetexpect edlossofBwhenApl ayshi
spuremov eAiis
m
Ei(
q)=∑i=1aijqj,
i=1,
..
.,
m Letu(p)
=mi nEj(p)>0andv( =maxEi(
q) q)>0.
1≤j
≤n 1≤i
≤m

Thepr
obl
em ofAi
stochoosep=(
p1,
.
..
,pm)whi
chmaxi
mizeshi
sexpect
edgai
n:
(
LPP1)Maxi
mizeu=u(
p)subj o∑m
ectt i
ajpi=Ej(
=1 i ∑m
p)≥u, i
p=1,
=1 i
pi≥0(
i=1,
.
..
,m)
,j=1,
.
..
,n

Thepr
obl
em ofBi
stochooseq=(
q1,
.
..
,qn)whi
chmi
nimi
zeshi
sexpect
edl
oss:
(
LPP2)
Mini
mizev
=v(
q)subj o∑m
ectt i
ajqj=Ei(
=1 i
q)≤v
,∑n
=1q
j =1,
j
qj≥0(
j=1,
.
..
,n)
,i=1,
.
..
,m.

Theorem 8.4(FundamentalTheor
em ofRect
angul
arGames)I
fmi
xedst
rat
egiesbeal
l
owed,
val
ueofat
wo-
personzero-sum gameexist
sandisunique(
opti
malst
rat
egi
esmaybedi
ff
erent)
.
68|
Page
 p qj
Pr
oofI
ntr
oduci
ngt
henot
atonspi/= i(
i i=1,
.
..
,m)andqj/= ( j
=1,
.
..
,n)
,LPP1andLPP2canber
ecastas:
u v

1 pi m /
LPP1/)Mi /
( ni zep0= =∑m
mi =∑ psubj o∑m
ectt ajpi≥1,
j=1,
.
..
, pi/≥0,
n; i=1,
.
..
,m
u i
=1
u i=1 i i
=1 i

1 qj m /
LPP2/)Max
( i zeq0= =∑n
mi =1 =
j ∑ q subj o∑n
ectt =1a
j qj/≤1,
i=1,
.
..
, qj/≥0,
m; j=1,
.
..
,n.
v v i=1 j i
j

1 1
LPP 1/ and LPP2/ ar e dualLPPs.Letp1/= ,p2/=…=pn/=0 and q1/= ,
min { a11,…,
a1n} max {a11,
…,aim}
q2/=…=qm/=0.Then( p1/,
0,
…,0)and(q1/,
0,
…,0)ar efeasibl
esol uti
onsof( LPP1/)and(LPP2/)respecti
v ely.
/
(LPP1)i sobviousl
ybounded( obj
ect
ivefunctionvaluecannotbenegat iv
e);hencebyweakdualit
ytheorem,
(LPP2/)alsoisboundedandhencebyFundament alTheor em ofDualit
y,bothLPP1/andLPP2/hav ef i
ni t
e
1 *
optimalsoluti
onsandMi np0=Maxq0= * ( say)
,thatis,Maxu=Mi nv=w,whi chist
heuni queval
ueoft he
w
game.
Exampl
e8.
7Sol
vet
hegamebyr
educi
ngt
oanLPP:
B1 B2

A1 3 1

A2 -
1 2

Addi
ng2t
oal
lel
ement
soft
hepay
offmat
ri
xsoast
oensur
eposi
ti
vi
tyofel
ement
s,newpay
offmat
ri
xis

(5
1 4)
3
.Thepr
obl
em ofPl
ayerB canbeputasanLPP:Maxi
mizeq=q +q 0 1
/ /
2 subj o5q1/+3q2/≤1,
ectt

q1/+4q2/≤1;q1/,
q2/≥0.I
ntr
oduci
ngsl
ackv
ari esq3/andq4/,weusesi
abl mpl
exmet
hodt
osol
vet
heLPPas

f
oll
ows:

Tabl
e1

{ }
cB xB b c1=1 c2=1 c3=0 c4= ̅
0 b
n i:
Mi y >0
y
i1
i1

y
1 y
2 y
3 y
4

0 x3 1 5* 3 1 0 1/
5=5

0 x4 1 1 4 0 1 1/
1

z=0 zj-
cj -
1 -
1 0 0

Tabl
e2

{ }
cB xB b c1=1 c2=1 c3=0 c4= ̅
0 b
n i:
Mi y >0
y
i2
i2

y
1 y
2 y
3 y
4

1 x1 1/
5 1 3/
5 1/
5 0 1/
3=5
69|
Page
0 x4 4/
5 0 5*
17/ -
1/5 1 4/
17

z=1/
5 zj-
cj 0 -
2/5 1/
5 0

Tabl
e3
cB xB b c1= c2=1 c3=0 c4=0
1

y
1 y
2 y
3 y
4

1 x1 1/
17 1 0 4/
17 -
3/17

1 x2 4/
17 0 1 - 5/
17
1/
17

z=5/
17 zj-
cj 0 0 3/
17 2/
17

5 1
Thusopt
imalsol
uti
oni
sMaxq0= = *( )atq1*=1/
say q2/=4/
17, 17.Thev
alueoft
heor
igi
nalgamepr
obl
em
17 v

i
sv*
-2=17/
5-2=7/
5andopt
imal
str
ategyf
orpl
ayerBi
s
(B1
**
B2
**
q1v q2v )(
=
B1
5 4/
1/ 5
B2
. )
Usi
ngdual
i
tyt
heor
y,p1*=3/ p2*=2/
17, 17andopt
imal
str
ategyf
orpl
ayerAi
s
(A1
**
p1v p2v
A2
** )(
=
A1
3/
5 2/
5
A2
. )
32 * 14 7
Thust
heopt
imal
str
ategi ep*=(,)
esar ,q=(,)
,val
ueoft
hegamei
s .
55 55 5

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